Mostly beef that I get, and I ask my butcher. Some of the higher end stores have marrow bones ready to grill/roast, but you pay a premium for what was once the butchers scooby snacks.
Usually femur (but any long bone can work), and usually beef (at least in the US) either in tall sections (think a tall ossobuco) or length wise long cuts, about 8 inches long. If you don't see them in the merchandiser, ask the butcher. One should always have a good relationship with their butcher/fish monger/dairy person. If they don't happen to have any, I'm sure they will save some for you if you ask.
I prefer lengthwise cut, topped with buttered panko with some rosemary and maybe pecorino romano, then roasted and finished under the broiler. Served with toasted baguette and some mashed roasted garlic. It's the best bread and butter you'll ever eat.