Of course the Cosmopolitan is a great Las Vegas hotel and it stands to reason that the Marquee is one of Vegas' hottest clubs. I went on a Friday night for which was over-the-top. It was a fun crowd and I had a great time. As I recall the price to get in was $40, drinks are $16 a pop. So bring your big wallet! It was nice thought that if you go to on Friday night you get a free ticket to come back on Saturday or Sunday for the pool party--which I did.
The pool party was a completely different vibe. They still had the bottle service and the DJ but most people found themselves in the pool and there was raucous fun. I do recommend that you spring the $40 for a locker which is cheap insurance over losing your cell phone or wallet. Not sure when it starts but at 3pm when I arrived it was going pretty strong already.
If it is a special event you can reserve a cabana with bottle service AND you get your own Jacuzzi which makes everyone in the place jealous.
It was nice that there is an indoor pool party in Vegas when the January weather is 46 degrees outside. I would guess that they keep the pool a little above 85 so there is still a pretty harsh sting of the cool air when you get out. Even being an indoor pool the air temperature isn't exactly warm.