An ensemble of magnetic microparticles at the liquid surface displays novel snakelike self-assembled structures induced by an alternating magnetic field. We demonstrate that these structures are directly related to surface waves in the liquid generated by the collective response of magnetic microparticles to the alternating magnetic field. The segments of the "snake" exhibit long-range antiferromagnetic ordering, while each segment is composed of ferromagnetically aligned chains of microparticles. The structures exhibit magnetic hysteretic behavior with respect to an external in-plane magnetic field and logarithmic relaxation of the remanent magnetic moment.