This recipe is lifted almost exactly from Fergus Henderson's book The Whole Hog. Not that roasting a marrow bone is all that difficult, but his advice on how to eat the bone and his recipe for the parsley salad make this a truly special dish. I highly recommend everyone go out and buy his book. God bless that Englishman.
The trick to bone marrow is to get a good bone, we're talking about beef bones by the way. When you look at the bone you want to see as much surface area of bone marrow as possible. You also want a nice round bone, I find that this helps with even roasting, but I could just be superstitious. Once you have the proper bones the rest of the recipe is as simple as turning on an oven.
To accompany this incredibly rich dish a citrusy parsley salad is ideal. Make a vinaigrette using lemon juice instead of vinegar, chop up some onion or shallot for the dressing as well. Then simply toss with some roughly chopped parsley, season and serve alongside your bones.