Marrow bones need to be soaked before roasting. The bones can vary in size; smaller bones will cook more quickly than larger ones.
Place bones in a bowl with ice water, and refrigerate overnight, changing water once.
Preheat oven to 450 degrees. Drain bones, and pat dry. Stand bones upright on a rimmed baking sheet, and roast until marrow is slightly puffed and warmed through, 20 to 25 minutes.
Make the gremolata: Combine parsley, horseradish, and lemon zest in a small bowl. Stir in lemon juice and oil. Sprinkle marrow with salt, and serve immediately with baguette and horseradish gremolata.