The simple answer is that Allied close air support during Market Garden was TERRIBLE, epically during the first few days of the operation, and mostly for reasons that were self-inflicted.

There were a few issues here:

Air support during WWII was not the panacea that it gets made out to be, it was often effective at interdiction (killing units on the move, attacking supply lines) but not as good at dealing with a prepared enemy or one who was currently engaged in an attack. This mostly comes down to the fact that even at WWII airplane speeds a pilot has very little time to identify a target, determine that it is an enemy, and make a successful attack. My understanding is that the allied air cover during Market Garden was instructed to not attack targets of opportunity, as there was a fear that given the expected confusion that a paradrop generates (i.e. units being scattered all over the place) that fighter pilots would end up attacking friendly troops instead.

EDIT: Not strictly Market Garden related but just to give some examples of air power being overrated: La Beleine July 29th 1944. Air attacks claimed to kill 17 tanks, actuality 3 tanks killed. Mortain in early August 1944 is even worse, 120 claimed 'killed' or 'probably killed', 9 tanks actually killed.

A 2nd issue was weather. While the weather in the operation area was fine, weather back at the fighter bases for the first 4 days wasn't, which prevented the planes that would have been used for close air support from taking off. There was a possibility for planes in Belgium to make up for this, but (for reasons I've never quite understood) Lewis Brereton, the general in charge of the "First Allied Airborne Army", didn't want these units flying when his transport planes were in the air.

A third problem was communication. The British did not have RAF or USAAF liaison officers to help coordinate support. The airborne units were supposed to be equipped with radios to communicate with other allied forces but they ran into all sorts of problems. It's worth remembering that WWII radios with good range were major affairs, the sort of thing that would require a truck to power and move (A semi-random example the SCR-399 had a range of 100 mile for voice communication but was built around a 2.5 ton truck). The airborne units due to the difficulty of moving large pieces of equipment therefor tended to have few of these types of units and they were generally the bare-bones of what the operation planners throught they could get away with. Add onto that the fact that the British at least dropped into terrain that was horrible for radio communications, with bad terrain (forests, cities), marshy iron-rich ground that was (and still is) hard on ground based radio communication. There were also accidents, with key operators being killed, and at least once case I'm aware of where a radio was taken out on the 1st day of the operation when a glider crashed into it. There are also stories that some of the sets designed specifically to coordinate CAS strikes were set to the wrong frequency, but I have never heard of a good source for these stories. On the other hand, Lewis Golden argues in "Echoes from Arnhem" that the equipment was acceptable, and the failure was one of operational experience and failure by leadership (i.e. people didn't know what they were doing). For what its worth Market Garden also correlated with a natural 'dead' period in AM Radio communications thanks to variations in sunspot activity.