I used to own a Henry Golden Boy 22 lever gun. Made here in America, tube fed, and one smooth, slick feeling rifle. Fit and finish was excellent, nice woodwork, and an octagonal barrel. The buck horn sights gave the gun a very nostalgic, wild west flavor in a soft shooting caliber.
I've got some experience with the Marlin 39 as well. the Marlin 39 has been in constant production by the same company for over a hundred years now. The 39 is a great, expensive-feeling 22 rifle. This gun is also tube fed with a nice feeling lever, but not as smooth and slick as that of the Henry rifle.
The Henry is less expensive than the Marlin, but there's a reason for that. To take apart the Henry, you need a screwdriver, hopes, and prayers. The guns truely aren't designed to be taken apart. The manual says that you just need to clean out the ejection port and clean the barrel as you would with any other gun. I'm sorry folks, I like guns i can clean. I take apart my guns. That's just how i am and there's no changing me. I took apart the Henry Golden Boy once before i sold it back to the guy iI got it from. It came apart like your average BB gun, with plenty of pins, springs, plastic bits, and cast aluminum. I got the gun back together, but it took a while and i felt like i was performing heart surgery the whole time.
The Marlin is more expensive, but it is a nicer gun. You get what you pay for. Its better thought out and better laid out than the Henry. The Marlin comes apart, bolt and all, with no tools. That's a great design and I applaud them for their design. You can tell they spent some time at the drawing board designing a gun that can be easily taken apart for cleaning. With 22LR being a drity round, the ease of disassembly is a huge factor that I keep in mind when gun shopping. A gun loses major points in my book if it needs tools to take apart or if its horribly complicated once taken apart.
If you want to save money, get the Henry. It looks great and the lever action is by far the smoothest i've ever felt. The Henry shoots fine, but the Marlin seems like its a gun that you can pass down to your children, a gun that'll outlive you. Being made of all steel and not utilizing any Zamac aluminum (same alloy used to make "saturday night specials"), i feel that the Marlin is the most soid 22 on the market. Its horribly overbuilt and consumers are obviously willing to pay a premium for that or else it wouldn't be in production. The henry on the other hand is a very nice, slick gun, but the reciever is made of aluminum, along with some small interior bits. I just don't see those little parts lasting as long as parts made of steel.
If you don't mind spending real money on a sub caliber gun, get the Marlin. It'll outlive you.