If you read the paragraph the quote was taken from, it's all there:
I went to the woods because I wished to live deliberately, to front only the essential facts of life, and see if I could not learn what it had to teach, and not, when I came to die, discover that I had not lived. I did not wish to live what was not life, living is so dear; nor did I wish to practise resignation, unless it was quite necessary. I wanted to live deep and suck out all the marrow of life, to live so sturdily and Spartan-like as to put to rout all that was not life, to cut a broad swath and shave close, to drive life into a corner, and reduce it to its lowest terms, and, if it proved to be mean, why then to get the whole and genuine meanness of it, and publish its meanness to the world; or if it were sublime, to know it by experience, and be able to give a true account of it in my next excursion. For most men, it appears to me, are in a strange uncertainty about it, whether it is of the devil or of God, and have somewhat hastily concluded that it is the chief end of man here to "glorify God and enjoy him forever."
Thoreau went into the woods to live a bare, spare, and essential existence... no modern conveniences to help him make things easier, no creature comforts to lighten his load. He went into the woods to learn what it meant to really live this life as it is, free of all the man-made accouterments that take the life out of life. Put in a more modern way, Thoreau wanted to live without the remote control.
His idea was that all the things we have concocted to make life easier for us to live, at the same time take the substance out of living, the morrow out of the bones. If you turn on the water spigot and water comes pouring out, you don't have to pump it yourself. But it is in the very act of pumping the water yourself, that you feel the weight and substance of the water. In your hands, in your arms.
If things got tough for him, so be it; experience the toughness. If winter winds chilled him to the bone, so be it; feel the cold... know it from within. Thoreau went alone into the woods to learn how to live the way his maker intended to live.
In this quote from "Walden," Henry David Thoreau is giving his advice about how to live one's life.
The basic idea of this quote )and the lines that come before it) is that one must live life to the fullest extent possible. Thoreau is giving this as his reason for coming out into the woods. He doesn't want to be in the position where, when he's about to die, he realizes that he never really lived.
So because of that, he wants to live life "deeply" and to "suck the marrow" (marrow is the stuff that you find inside bones if you crack them) from life -- that is, to get every last bit of goodness out of life.