It is Kinesio Tape, which is an adhesive-tape that is applied to problematic muscles.

Problematic as in, the muscles are weak after returning from injury (you can support them using Kinesio tape), or you can apply it to aching muscles to sooth the pain. It's application can also increase blood flow to the muscles, and speed up the recovery process.

Specifically to Mario, no-one knows the exact reason he's using it.

Here's an article which explains the science behind it (beyond me :P).