Death penalty: First, it actually costs more money to execute someone than it does to keep them in prison for life. Second, some conservatives might not trust the government court system sufficiently to grant it the power to impose death.
Gay marriages: I agree that this hard to make a strictly conservative argument for. One could argue that as far as the government is concerned, marriage is primarily an economic arrangement, and it is discriminatory to not allow homosexuals the same economic benefits as heterosexuals.
Sullivan may be right that the attitudes of college students are becoming more libertarian than liberal, although we'd have to see their opinions on economic issues to determine that.