Well, the word marquee is applied to the sign above the entrance to a cinema or theatre. The name of the film (play, or musical) and one or two of the main actors in it, are usually posted on the marquee. The star names are thought to attract film-goers, regardless of the quality of the film.
By analogy, therefore, marquee players are "stars" who can draw spectators to a game, regardless of the team's quality.
David Beckham is a good example of a marquee player. People will often attend MLS games in North America just to see Beckham on the field.