Make the bacon marmalade: In a medium saute pan over medium-high, heat the olive oil and add the onions. Saute until the onions are well caramelized, 8 to 9 minutes, then remove from the pan and set aside. Add the bacon to the same pan and cook until browned and crispy, 7 to 8 minutes. Drain the bacon grease off and then add the brown sugar, maple syrup and cayenne pepper to pan. Bring to a boil, then lower the heat and simmer until the jam has thickened, 3 to 4 minutes. Return the onions to the pan, remove from the heat and allow to cool.
Make the marrow and toast: Preheat the oven to 375 degrees F.
Place the bones cut-side up on a large baking tray. Sprinkle the bones with garlic, thyme, lemon zest and salt. Roast the bones in the center of oven until the marrow is soft and has begun to separate from the bone, 12 to 15 minutes. Remove from the oven and set aside.
Place the bread on a baking sheet and drizzle with the olive oil. Bake until golden and crispy, 5 to 7 minutes. Serve the marrow with marmalade and toast.