In almost all of his novels, Hardy explores and questions the institution of marriage. We see it from the very beginning of The Mayor of Casterbridge, when Henchard complains about being unhappy in his marriage. Since divorce wasn't an option in those days, he actually auctions his wife off to the highest bidder. After that first scene, the novel explores the question of what a husband owes a wife, what a wife owes a husband, and how "marriage" can be defined.
In The Mayor of Casterbridge, "marriage" seems to be less of a traditional, legal contract than an agreement between two people. Susan's relationship to Newson and Lucetta's understanding with Henchard are just as morally binding as a traditional, legal marriage.
Henchard's proud independence makes him view marriage as a set of duties imposed upon him by his wife, rather than a reciprocal relationship. Because he does not expect anything in return, he comes to see marriage as a financial and emotional drain.