Reading the rule book, during the Marshalling phase, it says you can use event cards that are already "In Play", what does that mean? Does that mean cards that were placed down from the previous turn I can only use those? Or cards I just NOW set down during my Marshalling Phase, if the event card says "During any Phase", I can go ahead and use it?

Or no, because it was recently played, and was not "Already In Play" ?

Also, it seems in the Stark house cards, there's a gray card that just has a giant 'X' on it. Does that mean I just lose a card for that turn? Or am I suppose to take this out of my deck?

"Playing certain events and using abilities on characters and locations already IN PLAY."

This means you may play some "Event" cards (that say "Marshalling" or "Any Phase" or "Response").

It also means you may use abilities on characters and locations that are IN PLAY, whether they came into play on a previous turn, or during Setup, or just now. Abilities are immediately available - there is no "summoning sickness" or delay.

For example, if Eddard Stark is kneeling because he has "Imprisoned" attached, you may play "Hand of the King" on him, then kneel it to stand Eddard.

Or, you may play Sansa Stark, play an attachment on her, then use her ability to draw a card.

Or, you may play Winterfell Heart Tree, then immediately kneel it to lower the cost of the next Stark card you play.

I don't know what card you are talking about (with a giant X on it) -- there is no such card in my deck. It was probably mistakenly included, and you can safely remove it.