The two really great films that the Marx Brothers did after they left Paramount were "A Night at the Opera" (the best IMHO) and "A Day at the Races". These two have Margaret Dumont sparring with Groucho as usual. "Races" and "Opera" were the two films that boy genius Irving Thalberg supervised after personally wooing the Marx's to come to MGM in the first place. Louis B. Mayer really had no use for the brothers, and it shows in the kinds of films they were given after Thalberg died in 1936. The best of the Marx Brothers are what they did at Paramount, still with us in The Marx Brothers Silver Screen Collection (The Cocoanuts / Animal Crackers / Monkey Business / Horse Feathers / Duck Soup). The Marx Brothers were iconoclasts at heart, and after the production code began to be enforced they really had no home in motion pictures. I think Irving Thalberg was wrong to think that the problem was that the brothers never helped anyone in their movies, but the formula he came up with in "Opera" and "Races" did make their comedy work in the age of the code.
"At the Circus" and "A Night in Casablanca" are OK. On the bright side "At the Circus" has Margaret Dumont. On the not so bright side it is infected with musical numbers that are, quite frankly, boring. "A Night in Casablanca" almost gets the boys back to the quality they had in the mid 30's under Thalberg, so it is worthwhile viewing, although it does lend a generosity to the boys that simply does not fit their brand of humor.
"Room Service" (1938) is actually an RKO film, so for once no musical numbers. This script was not written especially for the brothers, it was one of the few films they did with adapted material. The humor is OK, but it just doesn't seem like a Marx Brothers film.
In my opinion The Marx Brothers Collection (A Night at The Opera/A Day at The Races/A Night in Casablanca/Room Service/At the Circus/Go West/The Big Store) is a more complete picture of the film career of the Marx Brothers after the code. It has plenty of extra features and it is often on sale for about the same price as this set, plus you get seven films, not just four.