Grass-fed marrow bones are the best, but normal animal bones will do too. However, what is NOT ok, and most people don't know about this, is that bone broth from regular chickens is pretty thin on minerals. These cheap chickens are only 3 months old, and some have never walked in their lives. So you can't expect these poor bones to deliver the goods. If you can find free-range stewing hens (2-3 year old chickens that is), then sure, these have nutrients in them, although cow/goat/sheep would still be preferred, as they have more bone/marrow.
And speaking of goat/sheep, this is the cheapest way to get marrow bones from pastured animals. All you have to do is buy two lamb or goat shanks (they will cost you about $7). I buy these at my local Mediterranean shop ($3.99/lb). Ask your butcher to cut them in the middle (so their marrow gets exposed). At home, remove the meat, and cook it the way you want to. Then, you use these bones to do your bone broth. Picture: http://www.grasslandbeef.com/catalog/LambShank.jpg
Sheep/goats in the US are usually pastured. The last time I bought grass-fed marrow bones from cows, they cost me $21 (just the bones). The non-grass-fed ones cost me $8-10. So I switched to lamb/goat, which in my opinion are yummier, as nutrient-rich as cows, cheaper overall, and I get "free" meat with them too.
It helps, but if it's restricting your food options elsewhere in your budget it's not really a huge priority. Grassfed marrow is probably going to be better in terms of vitamins A, k2, and CLA. It will probably have a better o6/o3 ratio, but then, beef fat isn't particularly high in omegas anyway. If you're going for poultry or pork, it's probably a bigger deal - but only because broth made from those is likely to be based on bigger portions of meat and fat. If you're sticking to beef bones, I'd say conventional isn't all that bad. Go grassfed if you can afford it (and source it), otherwise don't worry about it. It's more important that your staples are from pastured, bones are a bit trivial.
I don't make bone broths from poultry as I don't have affordable access to free range birds.
I've had excellent results with beef bones. There's one supermarket in my area has a lot of "odds and ends" in their meat dept. and I try to buy a combination of marrow, meaty and gristly bones so I get a rich complex broth. All minerals were near the top of normal range in my recent blood work and I don't take supplements (other than home-made yogurt and water kefir) so I'm pretty comfortable that the bones are doing their job.
I do eat 3-4 cans of sardines per week and eat fish as my main meat 2-3 times per month. I also use EVOO on leafy salads 3-5 days per week.
I usually buy one or two free range chicken from the farmers' market a week and make soup from the bones. A couple of weeks ago, I thought to ask the "chicken man" if he ever had chicken feet for sale. There he was the next week with a huge bag of them for $5. Best. Soup. Ever. So if you do have access to a farmers' market or independent butcher, ask for the odd bits.