Then the best is most definitely still to come.
As I'm sure you know, Duck Soup, Animal Crackers and Horse Feathers are considered the real classics, and for good reason. Each one is an embarrassment of riches in terms of visual gags, acerbic put-downs and all-round comedic anarchy.
I give the edge to Duck Soup, if only for a priceless mirror routine involving Groucho and Chico, but you can't go wrong with these three films.
Of course, Opera, Races and Circus all have brilliant moments, too, and benefit from the participation of the peerless Margaret Dumont - the Marxes' finest comic foil, just ahead of Edgar Kennedy - though none of them are as consistently funny as the earlier works.
The Coconuts, their first talkie (IIRC), has its moments too, although they began to lose their touch with the likes of Go West, The Big Store and A Night in Casablanca. I think I once saw Love Happy, too, but have no memory of it, which is a bad sign.