Reply #5: Any of the first six

[Oeditpus Rex]

"The Cocoanuts" (1929)

"Animal Crackers" (1930)

"Monkey Business" (1931)

"Horse Feathers" (1932) — my favorite

"Duck Soup" (1933)

"A Night at the Opera" (1935)

Two caveats: The audio quality in "The Cocoanuts" leaves much to be desired. You may find yourself re-playing some bits to figure out what was said. "A Night at the Opera" was their first film with MGM (the first five were with Paramount), and by 1935 MGM was establishing its reputation as the "musical" studio. So, there're a lot of scenes with Kitty Carlisle and Allan Jones crooning ballads.

Oh, something else: In "The Cocoanuts," Harpo has dark hair. His red wig looks dark on black-and-white film.