The marginal utility of X is the additional utility from one additional unit of X or, more formally, the derivative of utility with respect to X. The marginal utility of X may very well depend on the amounts of other goods, Y and Z, for example, that also enter a utility function.
Marginal utility is an important concept because the theory of the consumer generally assumes that agents consider marginal utilities when deciding how much of X (and Y and Z) to consume. Marginal utility plays an important role in the Theory of the Consumer, which includes the EconModel applications Two Goods - Two Prices, Labor Supply, Income Taxes, and Transfer Payments , and Intertemporal Substitution.