One CD which should now be available (it was scheduled for release 2/14/97) is The Unknown Marx Brothers. It is based on the documentary film of the same title. See Indelible Ink for a review of the disc. It is available on-line at:
A second CD-ROM is Comedy Classics Desktop Entertainment Software. This disc contains video clips, images, sound clips, and PC desktop toys for Windows 95. It includes material from the Marx Brothers, Buster Keaton, Charlie Chaplin, and others. It can be bought from Questar, Inc.
Disclaimers: The companies listed here were found from random searching on Yahoo and other sites. I am not associated in any way with any of them. I have not ordered from all of them, and make no claims whatsoever as to their quality/speed/reputability/etc. The only criteria for being listed here were that they carry Marx Brothers merchandise, and that they provide some sort of database searcher in order to find it.