Official Class Reference:

http://www.google.com/apis/maps/documentation/reference.html#GMarker 

http://www.google.com/apis/maps/documentation/reference.html#GMarkerOptions

http://www.google.com/apis/maps/documentation/reference.html#GIcon

Examples:

Creating one custom icon:

http://www.google.com/apis/maps/documentation/#Creating_Icons

http://econym.googlepages.com/example_custom.htm

Creating a class of custom icons (different foregrounds, same everything else):

http://www.google.com/apis/maps/documentation/#Using_Icon_Classes

Creating custom GIcons (with G_DEFAULT_ICON base) from XML file:

http://econym.googlepages.com/example_map16.htm

Creating a custom GIcon and setting all properties of a custom GIcon:

http://econym.googlepages.com/custom.htm

Switching marker color, basic Hello World:

http://esa.ilmari.googlepages.com/hellocolorswitch.htm

Switching marker color. Together with z-index switching.

http://esa.ilmari.googlepages.com/ZMarker2.htm

Icons/Icon Makers:

Google Maps custom icons:

http://www.visual-case.it/cgi-bin/vc/GMapsIcons.pl

Default set of Google Map markers in 10 different colours:

http://www.benjaminkeen.com/?p=105

Custom shadow maker (upload a PNG, get shadow back):