Back in the day this would have been used of marrying someone higher up in society, but nowadays it's just generally when someone is punching above their weight in the romance department. If you use it about yourself it's a compliment. If someone else uses it about you, they basically think you're ugly.
"Did your wife make you those sandwiches? They look amazing."
"I know! I married up."
"Buck-toothed Jimmy just got married! Check out the wedding shots!"
"She is hot. That guy seriously married up!"