As Fergus Henderson puts it, marrow is "the inside of the leg bones of a veal".  And it's one of those foods (like sea urchin) that are so full of flavor, that it deserves minimal treatment. It's excellent every single time.

These marrow bones are from Dickson's Farm Stand Meats in the Chelsea Market.

These are cut widthwise, but I think we prefer it when the bones are cut lengthwise. The marrow is easier to get at.