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Marrow is found inside certain large bones.
For practical cookery purposes, the thing to get is a beef or veal shank bone. You can get one from either a butcher shop or the supermarket butcher. Beef shank meat is relatively inexpensive, and makes wonderful stews. If the bones are cut into short segments, you can go in with a thin-bladed knife to remove the marrow, or you can blanch the bones in boiling water for a minute or two, which will loosen the marrow to the point where it will slip out nicely. If the bone is split, you can pretty much go in with a spoon and scoop it out.