The Marfa lights are probably related to other so-called 'Spook Lights'. The book by William Corliss 'Unusual Natural Phenomena' lists the Brown Mountain Lights near Linville North Carolina, and the Ozark Spooklight on a country road 9 miles north of Joplin Missouri as other similar sightings as well as the Esperanze Light in La Salle County Texas. These lights look like headlights on cars, move at various speeds about 1 - 3 feet off the ground, changing in brightness and even color.
The Marfa Lights have, apparently, been studied by astronomers over at the Macdonald Observatory, but the bottom line is that no one really knows what is going on. Some speculate that it is headlights diffracted by the atmosphere like a mirage, but I don't think there ahs been any real scientific attempt to investigate these things. How would you apply for funding? Perhaps we could turn this around and ask amateur scientists to try to think up various explanations, and then make some careful measurements to test various hypothesis. This sounds like a wonderful science fair project!!