States can't override the Bill of Rights or anything else in the national constitution. Therefore, "oppression" by a state is not the kind of oppression that you'd see in China, Syria, Russia, Iran, North Korea, and many other countries around the globe.
The ability for gays to get married only in a certain (slowly increasing) number of states doesn't rise to the level of serious oppression, just like the issue of eminent domain (see Kelo vs New London) does not. They are both infringements of personal freedom, but the benefits of bring able to shop for a government you like far outweighs them, in my opinion.