Marbles allow the player to upgrade their "Pocket" by furnishing it and expanding storage capabilities. The ones that have currently been discovered will be listed below.

Marble Effect Location
Wet Marble Allows for gem storage Swim off the beach of the North Shore, heading up and slightly to the right. A crashed ship will contain the marble and a set of leather armor, plus a small chest with loot.
Bright Marble Adds lights to the ceiling of the Pocket
Comfy Marble Adds a decorative armchair and expands armor storage by 1 slot. In the transition room on floor 3 that leads to floor 4, head to the top right of the room, swimming past the monolith gate that requires the lantern to open. The marble is off-screen, but can be found on the right side of the cave once you reach the small northern shoreline of the clearing.
Woody Marble Adds a decorative log by the campfire and expands item storage by 4 slots. On floor 6, a hammer-door can be opened. The marble will be inside the small room with a campfire and a chest once unlocked.
Hungry Marble Adds decorative kettles by the campfire and expands food storage by 4 slots (needs verification). On floor 3, inside of a shelf on the right side of the merchant's shop. The room requires 200 gems to unlock the door.