A lot of people question Lily's (and by that extension, the marauders') friendship with Marlene because of the letters between her and Sirius-- how she didn't seem "terribly upset" that something (assassination) had happened to the McKinnons.
First of all, how sure are we that ALL of the McKinnons had been murdered in one fell sweep? For all we know, the Death Eaters (or Travers, in particular) could've picked them off one by one, with plenty of days (or months!) in between, till they got the entire clan.
Perhaps Lily hadn't been talking about Marlene's death in particular in that letter, but maybe of a couple of her family members-- which would actually make her "crying all evening" an indication that she was closer to Marlene than we would've thought. After all, she would've known how terribly it must've affected her friend, but was maintaining her exuberance for the mere fact that her good friend, Marlene, was still amongst the living-- despite all the terrible things that's happened to her family.
