A Marx generator works by charging the capacitors in parallel via resistors, and discharging them in series. Once the capacitors have charged enough the first gap will breakdown, and the voltage across the two capacitors will have doubled. Since the resistance of the ionized air in the spark is much lower than the resistance of the resistors the capacitors are effectively in series. The next gap will breakdown immediately due to the increased voltage across it's gap and this chain reaction continues up the ladder. The voltage across the chain of capacitors will be the sum of all their voltages, and enough to spark to either ground or another Marx generator if in a bipolar setup.

Cheap high voltage capacitors can be found easily on ebay, for my generator I purchased 20 ceramic caps from China. Proper HV resistors are much harder to find, especially in large quantities. Fortunately they can be constructed by putting several regular 1W resistors in series.  I used 3x 330k 1W carbon film resistors which were soldered together and then sealed with heat-shrink tubing as shown in the photo. When constructing the actual circuit the components should be soldered together free-form to aid voltage stand-off. The resistors were soldered together in long chains, with capacitors joining each chain and simultaneously forming the spark gap. Once completed I found it necessary to encase the capacitor's legs in additional epoxy to prevent arc-overs.