In Civilization and Civilization II, the marketplace is a city improvement that increases the amount of tax and\or luxury that is generated in that city. Because of its role in generating luxuries, having a marketplace can often mean the difference between a city in disorder and a contented city.
Although it can be extremly helpful in a larger city, and only requires the Civilization advance of currency to build, many Civ players don't bother to start building marketplaces until relativly late in the game. Since the marketplace gives a +50 bonus to tax and luxuries, it needs a bit of tax already to pay for its own upkeep, which makes it useless if a civilization has a large number of small, far flung cities.
As with many city improvements, this one is often best built by a civilization that is no longer expanding, and has a relativly sophisticated form of government.