Why does Malvolio want to marry Olivia in Twelfth Night?

Malvolio himself actually answers this question quite well in Act II, Scene 5, when Sir Toby, Sir Andrew, and Maria are eavesdropping on his little private moment.  In a few words, he wants respect--he feels like Sir Toby and Sir Andrew don't ever listen to him (and to be completely fair, he's right), and he fantasizes about having such far-reaching authority that he can boss them around and they have to listen to him.

To hear him tell it in that scene:

"...she uses me with a more exalted respect..."  By which he means Olivia, at least, has the decency to respect him and his position.

"Calling my officers about me, in my branched velvet gown..." and a bit later, "Seven of my people, with an obedient start, make out for him: I frown the while; and perchance wind up watch, or play with my--some rich jewel..."  Both of these quotes reflect Malvolio's longing for the outward signifiers of power as well as power itself.  Velvet and jewels (ignoring what's almost certainly a lewd joke on Shakespeare's part with regard to the jewel) are obvious markers of wealth and power, but Malvolio also regards other people as markers of wealth and power.  He refers to "my officers" and "my people," indicating a degree of possession.  More generally, having people around to do his business for him, instead of having to do it himself, would indicate more power and influence than he currently has.

"Toby approaches; courtesies there to me..."  Quite the image, isn't this--Sir Toby having to grovel in front of a former servant.  Yet it seems to be Malvolio's most fervent desire.

Now, let's back it up a bit.  "There is example for't; the lady of the Strachy married the yeoman of the wardrobe."  This quote is particularly telling.  Twelfth Night as a play is concerned with a lot of overarching themes, perhaps most notably gender roles, but class and its cousin propriety are two other hugely important themes.  The play's name itself is a reference to a traditional festival from medieval/Tudor times, in which the Lord of Misrule turns all society upside down.  Class roles are reversed temporarily.  So the play itself is full of role reversals, of class boundaries being transcended or disregarded.  Malvolio, meanwhile, is the character perhaps most emotionally invested in maintaining order and propriety, particularly where Sir Toby and Sir Andrew's antics are concerned.  That makes this quote doubly interesting, because he expresses a wish to rise above his station, to defy class strata, but he also defends himself by citing precedent.  Inter-class marriage has been done before, he reasons, so in a way he thinks that gives him the right to do it himself.

So, in short: Malvolio wants to marry Olivia because he thinks it'll give him the power and respect he needs in order to maintain propriety in the household.