essexsmoker, you can get bone marrow from beef shin bones. I've seen em in Morrisons, like half a shin split down the middle. Or talk to your friendly butcher.
Or you can buy jars of it from places like Turner & George.
For cheese, I like something mellow and melty.
Monteray jack or something. I've tried Applewood and it works surprisingly well. The smokiness means you can taste the cheese a bit more.
At Meatopia, there was a guy doing a talk on how he won the "Burger Monday" challenge. His cheese component was actually a cheese sauce, with beef fat melted into it! Looked epic, but sadly I didn't manage to get a taste.
Experimentation is key! Keep trying new things. I recently did some pork crackling crumbs on my burger. That was quite good, but upped the saltiness quite a bit.