Being a large animated element usually placed in a prominent location on the website, marquees are extremely distracting for the users, until they become used to them and ignore them as they would a banner - at which point the marquee ceases to be harmful and becomes merely useless.
On the occasions when they are noticed, it's usually because some specific text caught the eye of the user. Then the text scrolls out of view before the user had a chance to finish reading, and the user needs to sit and wait an unknown amount of time for it to come back. Alternatively, you provide a manual scrolling mechanism for the marquee, turning it into a significant interactive element which requires its own controls and is gradually blown out of proportion.
The optimal speed of the scrolling is very subjective and varies greatly from user to user, so it will probably be frustratingly slow for some, and frustratingly fast for others.
In short, marquees don't have good UX :)