Preheat the oven to 375°F Cut butternut squash in half, and roast, cut side down for 45 minutes. When done, cut into cubes. In a large saucepan, saute onions in butter until tender. Add squash, chicken stock, marjoram, black pepper and cayenne pepper. Bring to boil; cook 20 minutes, or until squash is tender.
Puree squash and cream cheese in a blender or food processor in batches until smooth. Return to saucepan, and heat through. Do not allow to boil.