How useful is bone marrow examination in patients with FUO?

In this study it was pretty helpful, especially if the patient had anemia or thrombocytopenia:

Results Overall, a specific diagnosis was achieved by BMB and histological examination in 31 cases (diagnostic yield, 23.7%). Three types of diseases were found: hematological malignant diseases in 25 cases, including 19 patients with malignant lymphoma, 4 with acute leukemia, 1 with hairy cell leukemia, and 1 with multiple myeloma; infectious diseases in 3 cases; systemic mastocytosis in 2 cases; and disseminated granulomatosis in 1 case. Thrombocytopenia (odds ratio, 4.9; 95% confidence interval, 1.04-9.30) and anemia (odds ratio, 3.24; 95% CI, 1.13-9.34) were the most reliable predictive factors regarding the usefulness of BMB. Bone marrow cultures had very limited value in our cohort. Finally, corticosteroid use did not seem to affect the yield of BMB.