I love that leg gag of Harpo's. It turns up frequently in their films.
On a somewhat related note, there is the Marx Brothers/Nacogdoches connection (Wikipedia entry):
the Old Nacogdoches Opera House
One evening in 1912, a performance at the Opera House in Nacogdoches, Texas, was interrupted by shouts from outside about a runaway mule. The audience hurried outside to see what was happening.
When they returned, Groucho, angered by the interruption, made snide comments about the audience, including "Nacogdoches is full of roaches" and "The jackass is the flower of Tex-ass." Instead of becoming angry, the audience laughed. The family then realized they had potential as a comic troupe.
The act slowly evolved from singing with comedy to comedy with music.
I can personally attest to the fact that although the streets of downtown are still occasionally filled with the sound of people shouting about runaway mules, Nacogdoches is not "full of roaches."