He first married Caecilia Attica, daughter of Cicero's long time friend, T. Pomponius Atticus. The marriage was arranged my M. Antonius in 37 BC. The daughter of that marriage, Vipsania Agrippina, later was married to Tiberius (see below).

He divorced her in 21 BC to marry Augustus' niece Marcella (maior), daughter of C. Claudius Marcellus and Octavia. Their daughter, Vipsania married P. Quinctilius Varus, who later married Claudia Pulchra, daughter of M. Mesalla Apianus and Marcella (minor) younger sister of the above mentioned Marcella (maior), who, after Agrippa divorced her in 21 BC, married Iullus Antonius, second son of M. Antonius and Fulvia, who in turn was condemned in 2 BC for his affair with Julia, Augustus's daughter.

In the meantime, his first daughter, Vipsania (maior) had married Tiberius. Agrippa married Julia in 21 BC. On his death, Tiberius was forced to divorce Vipsania (who then married C. Asinius Gallus) and marry Julia.

Modern soap operas ain't got nuthin' on Roman imperial marriages.

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Sources

OCD

The Augustan Aristocracy, Sir Ronald Syme

The Roman Revolution, Sir Ronald Syme