[We are reposting Janet's message, originally posted January 2003 to the SF board....The Chowhound Team]
I've always simmered them before roasting, which seems to reduce any unpleasant odors. And the bones I used to get were very clean, so maybe that helped too. I actually haven't cooked any in quite a while, because I moved away from my old butcher shop. Now, however, I'm just up the street from a great new butcher shop, so they're on my list to start making again.
I basically blanch the bones in lightly salted water for 10-15 minutes, remove from the water, pat dry and roast them on a rack at a pretty high heat for a half hour or so. You can salt them before roasting, but I like to omit the salt then and sprinkle on some coarse and crunchy salt when I'm eating.
Jeffrey Steingarten microwaves the bones for 10 minutes, then roasts them for 20 minutes, drizzling them with the juices and fat that render out during the microwaving (that's from his new book, It Must've Been Something I Ate).
I found a recipe in a book of memoirs that paired the roasted marrow with an onion confit, which I was going to try, but I got side-tracked and decided to make onion soup instead of the onion confit. So I ended up spreading the roasted marrow on bread rounds that I'd sprinkled with Parmesan and olive oil and toasted until crisp. Then I floated them in the soup. It was really good, so I've done that several times now. Never did try the confit.
A friend of mine who used to work at Ecco said the chef there used to do something with marrow and foie (I think that was the combination), but I can't remember the details. I could try to find out, if you're interested.
One recipe I have (which I haven't yet tried) calls for removing the marrow from the bones uncooked, then pounding it with Parmesan cheese and mixing with butter. You then blend that into some reduced broth for a sauce for filet mignon. One of these days when I feel the need for a lot of saturated fat, I'll give it a try.