They were originally a Vaudeville (I wrote about it just yesterday, remember?) family comic act from New York, and enjoyed success in Broadway and feature films from 1905 to 1949. The funniest ones were the older brothers: Chico, Harpo and Groucho. Each one developed an unique shtick or stage persona. Chico butchered the English language with his fake clumsy Italian accent, which gave rise to many unintended jokes. Harpo was a silent comedian and used his habilities to entertain the croud without speaking (he used a horn sometimes, and its nearly duck sound also helped the gags). Groucho, with his charactheristic eyebros, eyeglasses and mustache, made sarcastic and hilarious jokes about anything and everything. Zeppo, the younger brother, wasn't so funny and usually played straight roles, but historians say that he could imitate his brothers perfectly. He only appeared in the brothers' first five films. There was also another brother, Gummo, who didn't appear in any of the movies and is also remembered as not being so funny either.
If you'd like to know more about the entire family, visit their official site!