Any fats or oils used in a marinade contribute VERY little fat content to the meat in the marinade -- they do, however, contribute flavor (think about draping bacon over a beef roast and baking it and you get the idea) and they "carry" the flavor of other ingredients in the marinade. Think of it this way: if you take a jar of olive oil and stuff in a half dozen long sprigs of fresh rosemary, you get rosemary-infused yummy olive oil. Other stuff in a marinade (e.g. wine) doesn't get infused with flavors/seasonings the same way that oil does.
If you marinate chicken (for example) in oil and lemon juice and white wine, and then you take it out of the marinade and grill it, you're not going to be eating the oil and lemon and wine -- or the quantity of it would be so minuscule that it nearly doesn't count -- but you do get some seriously nice flavor, and the marinade contributes greatly to the FLAVOR of the chicken, even if you don't brush it on while grilling.
Speaking of which, you shouldn't really brush marinades onto meat (or veggies or whatever) while grilling, because it's likely that you have raw-meat bacteria in the marinade and it's not going to cook sufficiently on the grill if you're brushing it on there at the last minute. If you bake the chicken IN the marinade in the oven, it'll be okay. But if you want to brush stuff on while grilling, start fresh with a liquid or sauce or whatever that hasn't had raw meat soaking in it overnight.