To expand on Bob's post, the incomplete transcription of Lord Marlborough referred to is the one in the DT, which was evidently made by ear from a Fairport Convention record.  Lord Marlborough  -the tune is not given.

The broadside version Bob quotes is part of the  Bodleian Library Broadside Collection  and may be seen here:  Lord Marlborough  (Large image).

There are a good few other broadside versions; they show some textual variations which suggest that at least some of them were collected (or perhaps, more accurately, re-collected) from tradition (and, of course, that broadside publishers regularly pirated texts from each other!)  Evidently, they all derive from the same original source.  The following list is fairly comprehensive (and doubtless over-long, but what the hell), showing a wide distribution over the country. I have omitted duplicate copies.  Where other songs are also given on the same sheet, I've indicated the titles.  These are all large images.

Lord Marlborough  Printed between 1820 and 1824 for Wm. Armstrong, Banastre St., Liverpool.  With "Black Eyed Susan".

Lord Marlborough  Printed between 1823 and 1834 for W.B. Dickinson, High Petergate, York.  With "Mary-Le-More".

Lord Marlborough  Printed between 1810 and 1831 by Marshall of Newcastle.  With "A New Song Called The Fashions".

Lord Marlborough  Printed between 1774 and 1825 by Angus of Newcastle.  With "Lord Nelson".

Lord Marlborough  Printer and date unknown.  With "Henry's Farewell".

Lord Marlborough  Printer and date unknown.  With "Plains of Waterloo" and "The Woodland Maid".

Lord Marlborough  Printer and date unknown.  With "The Loss of One Hero" (another "Plains of Waterloo" song) and "Love and Glory" (a very brief "female warrior" song).

Lord Marlborough  Printed by Crome, J.(?) of Sheffield; date unknown.  With "Henry's Farewell".

Lord Marlborough  Printed between 1820 and 1824 for W. Armstrong, Banastre Street, Liverpool.  With "Young Thomas" (I Live Not Where I Love).

Duke of Marlborough  Printed between 1819 and 1844 by J. Pitts, Toy and Marble Warehouse, Great St. Andrew Street, Seven Dials, London.  With "Banks of the Dee".

Duke of Marlborough  Printer and date unknown.  With "Sally Munro".

Duke of Marlborough  Printed between 1840 and 1866 by J. Harkness of Preston.  With "Polly Perkins".

Duke of Marlborough  Printed between 1840 and 1866 by J. Harkness of Preston.  With "Will Watch".

Duke of Marlborough  Printed between 1858 and 1885 at the "Catnach Press," by W.S. Fortey, Monmouth Court, Seven Dials, London.  With "Dark Hair'd Girl" and "Blue Violets".

Duke of Marlborough  Printed between 1849 and 1862 at Such's Song Mart, 123, Union Street, Boro' S.E. and at 83, Upper White Cross Street, St. Luke's (London).  With "Dawning of the Day".

Duke of Marlborough  Printed between 1828 and 1829 by T. Birt, wholesale and retail, 10, Great St. Andrew Street, Seven Dials, London.  With "Death of General Wolfe".

Duke of Marlborough  Printed between 1855 and 1861 by E. Hodges, Wholesale Toy and Marble Warheouse [sic], 26, Grafton St., Soho, London.  With "Mister Redpath".

Marlborough  Printed between 1796 and 1853 by Swindells of Manchester.

There is also a transcription of the text of a version, collected by Percy Grainger, in the Forum:  Lord Melbourne

Traditional versions, all fairly close to the broadsides, were found by, amongst others, Cecil Sharp, Lucy Broadwood, Alfred Williams and the Hammond brothers, mostly in the early years of the 20th century.  They are usually sung to what is essentially the same 5/4 tune, though it has mutated into quite diverse forms; Frank Purslow (The Constant Lovers, EFDS 1972) prints two variants found by the Hammonds in Dorset and Somerset, the first in C Ionian/Mixolydian, the second in D Dorian; Purslow thought that the song had originally been in 3/2 time.  Apparantly only Cecil Sharp found a version in the major, which is the one recorded by Nic Jones and, subsequently, by Fairport Convention.  Jones credited his source; Fairport did not.

Malcolm