Banned in China: It was widely feared that their movies encouraged anarchic behavior. Mussolini even went so far as to ban Duck Soup in Italy because he was convinced that the film was satirically aimed squarely at all fascist dictators.
Contrary to popular belief, Captain Spaulding never said "Once I shot an elephant in my pajamas. How he got in my pajamas, I'll never know" in Animal Crackers (what he did say was "How he got in my pajamas, I don't know"). But as it turns out, Groucho did say it — while misquoting himself during an episode of You Bet Your Life.
Another example: Groucho's line in Horse Feathers, "I've got to stay here, but there's no reason why you folks shouldn't go out into the lobby until this thing blows over" is almost always misquoted as "out to the lobby for a smoke".
People often think Groucho's quote "Of course you know this means war!" was from Duck Soup. However, the closest thing Groucho says to that was "That's it then, we're going to war!" The actual line is from A Night At the Opera, not Duck Soup...although the antagonist in Duck Soup does say "This means war!"
Most of the Marx Brothers' films had generally unnecessary and/or grating scenes with secondary characters sprinkled throughout, which the studio execs insisted upon adding for "story structure", which is just about the very last thing in the world a zany romp like a Marx Brothers film needs.
Louis B. Mayer didn't think the Marx Brothers were funny and was ill-pleased when Irving Thalberg gave them a five-picture contract. When Thalberg died in 1936, Mayer used his position as MGM studio chief to deny the Marx Brothers their favorite gag writers and limit the budgets of their remaining films.
Ravelli (Chico): How did you get to be Roscoe W. Chandler? Chandler: Say, how did you get to be an Italian? Ravelli: Never mind— whose confession is this?
Keep Circulating the Tapes: Grouch and Chico starred in a short lived radio series in 1932-33 called Flywheel, Shyster and Flywheel which was considered lost for decades. However, most of the scripts were found in the US Library of Congress and subsequently published as a book and later performed with Marx Brothers impersonators in the early 1990s.
Humor Risk (also called Humorisk), the 1921 silent film which was the Marx Brothers' real screen debut. Groucho so disliked the result of their first venture on the screen that he bought and destroyed all copies of the film and its negatives. It would take eight years (and the invention of talkies) before the Brothers returned to the movies.
There's also this short film, made in 1931 as a promotional trailer for Monkey Business and included in a Paramount anniversary feature (The House That Shadows Built) that same year. It features a reworked version of a routine that dated from the Marx Brothers' I'll Say She Is stage revue and includes several gags that were borrowed for Monkey Business itself.
Old Shame: The brothers' 1921 film debut, Humorisk. This silent film was so bad, Groucho bought all existing prints and the negative and burned them all.
Throw It In: Groucho was a brilliant improviser; additionally, one story holds that bits of the script simply said "Harpo Does Something Funny" because he came up with stuff much better than the writers ever would. Case in point, Harpo's famous "bottomless pockets" routine began as a scripted incident in one of their stage shows where his character was supposed to steal a butter knife. But Harpo slowly expanded it, one piece at a time per performance, from a single knife to an entire silver set including tea service. Animal Crackers in particular is full of Groucho stepping away from the conversation to have the occasional "strange interlude", parodying the then-popular Eugene O'Neill play Strange Interlude.
What Could Have Been: In 1960, Billy Wilder came up with an idea for bringing the brothers back to the screen in a movie called A Day at the United Nations. The Marx Brothers were amenable, and Wilder worked up a script with frequent collaborator I.A.L. Diamond (Some Like It Hot, The Apartment, etc.), but before production could begin Harpo suffered a heart attack and then Chico died, killing the project.