Young Sean Connery, when not playing James Bond, always sort of creeps me out. But, in Marnie it works in his favor. The image of super suave secret agent helps to sort of fix what comes off as foolishness and leads to... well, what it leads to. You buy that he can really think he can solve her problems. And, transversely, Tippi Hedren spends the entire movie trying to not be attracted to Sean Connery. So, like Hitch is best known for, he lets both actor's outside personalities alter our perception of their characters. Which is both smart and a little bit weird.
Really, the highlight of the movie, for me anyhow, is the score by Bernard Herrmann. The last score he did for Hitchcock, and while not the most iconic (Vertigo or Psycho would take that), it's delicate and sophisticated... tonally very diverse. Best of all, like most collaborations between Hitchcock and Herrmann is the decision of when to use music and when to abstain. Scenes of high drama that should have tense music, instead are stone silent, nothing but the rustling of feet to guide you. And it works. Works in bucketfuls. The wonderful split screen as Marnie loots the bank vault and the cleaning lady cleans the office is literally cinema perfection.
From there, the movie becomes this interesting little psychotherapy drama, as Sean Connery shows off his (unexplained) psychiatric knowledge, and starts to analyze Marnie and what made her the mess of a person she is (She's scared of red! She's scared of lightning! She doesn't like being touched by Sean Connery! Sheer Madness!) It falters a bit once it comes to the end, which is almost exactly what you expect it to be, rather than, say, the end of Chinatown. But still, it's one of Hitch's greats, and really an excellent example of a character study that is somewhat rare in his overall filmography.