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Generally, he jsut asks you to follow him indefinatly. He will problably let you know of a few simple missions he wants you to do; scout three places is the most common, it seems. just a nice way to get rep.
If the campaign goes on long enough, you'll see some good action too. If you've got good relation with other lords folllowing the Marshal, you can ask them to follow you instead. It's interesting to see all the vassals follow you and take your "Recommendations" rather than the Marshall :]