There are two types of bone marrow: red marrow and yellow marrow. Yellow marrow is mostly fat, but red marrow is very metabolically active. Red marrow does the process of hematopoiesis, which creates new blood cells. The average erythrocyte, or red blood cell, has a life span of about ninety days, after which it must be replaced, so you are making new red blood cells all the time. Bone marrow also creates the various types of white blood cells, which are your immune system.
Bone marrow also contains some stem cells throughout your life, which can become active in the case of a broken bone or other major injury. Yellow marrow cells can also revert back to being red marrow cells if the body has a sudden need for more blood cell production.