At the very beginning of the movie, when Groucho tries to con Chico and Harpo out of money by selling them "western" clothing that they don't need, only to have the tables turned on him and be robbed of every cent.
In the stagecoach scene, Groucho asks the woman sitting next to him why her child is crying so loudly and she answers that it "can't stand the jerks in the coach". Thinking that she was referring to them as the "jerks" (and not the stagecoach rocking back and forth)Chico and Harpo take her remark as their cue to leave the vehicle, while it's still in motion no less.
While the Marx brothers attempt to reclaim a stolen land deed, Groucho and Chico are forced to stall some of the saloon's show girls who are in league with the villains. The women get them progressively more drunk, leading to several funny moments, but the best is when Red Baxter shows up and lines them against the wall.
Baxter: I don't like your faces!
Groucho (drunkenly): And I suppose you think we like them!
After they break the brake, Chico and Harpo have to figure out a way to stop the train. Harpo gets a bucket full of clear liquid that he thinks is water to throw on the engine's fire...but it actually turns out to be kerosene.
Groucho (after the ensuing explosion): If that's water I'm glad I never touch the stuff.