Learn German: Wen willst du heiraten? - Who do you want to marry?

Wen is the accusative (direct object) form of "who". In this sentence, du (you) is the subject doing the action, and the person being married is the direct object receiving the action. Since heiraten takes an accusative object, we must use Wen.

Why isn't there a preposition here, like mit wem (with whom)?

In German, just like in English, you directly marry a person. You don't marry "with" someone or "to" someone. Because there's no preposition needed for the verb heiraten, we just use the plain accusative question word Wen instead of a prepositional question.

Why is the verb heiraten all the way at the end of the sentence?

This is because of the modal verb willst (want). In German sentences with a modal verb, the modal verb takes the normal second position, and the main action verb (heiraten) is pushed to the very end in its dictionary (infinitive) form.

Doesn't willst mean "will"?

It looks like it, but willst comes from the verb wollen, which actually means "to want". It is a famous "false friend" for English speakers. If you wanted to ask "Who will you marry?" (future tense), you would use the verb werden instead: Wen wirst du heiraten?