The reason to come to Mary is Merv, 30 km east. The ruins are vast — five distinct walled cities built on top of and next to each other over two thousand years — and a full day on the site is the right amount of time. The city of Mary itself is unremarkable but has a good regional museum and a working Soviet-era bazaar where you can stock up on food for the day.
The other big draw is Gonur Depe — a Bronze Age city about 60 km north on the edge of the Karakum desert, only excavated in the 1970s and a candidate for one of the world's lost civilisations. Allow another full day and a four-wheel drive.