Duck Soup is the one with Groucho playing Rufus T. Firefly, the newly appointed leader of the country of Freedonia. Released in 1933, it was the fifth and last feature that the Marxes made for Paramount before going to MGM, and it was also the last film that Groucho, Chico, and Harpo Marx made with their fourth brother, Zeppo. (Zeppo left movies to become a very successful Hollywood talent agent.) Duck Soup wasn't as big a hit as their previous films had been, but over time it has come to be considered ones of the Marx Brothers' best.
One of the funniest scenes is Rufus T. Firefly's introduction. After much pomp and circumstance surrounding his triumphant arrival at a gathering held in his honor, he shows up -- late -- and immediately begins insulting the peerless Margaret Dumont (in the type of role she played in seven Marx Bros. movies). One of the things I find so funny about this type of scene (and there's at least one in every film) is that Groucho's character is rude for no reason whatsoever. It's wholly unprovoked and uncalled for. And the dialogue, while clearly of the old-fashioned vaudeville-style "set-up/punchline" variety, is still snappy.
The scene, after the jump.