In alphabetical order, they were Chico, Groucho, Gummo, Harpo, and Zeppo Marx. Gummo appeared in their vaudeville act, but not in any Marx Brothers films.
Just like the Thin Man movies, I love watching Marx Brothers movies when I'm a little under the weather or when it's cold/wet/yucky outside.
My all-time favorite scene is here, but here are some others for your enjoyment/eye rolling:
Marx Brothers for Beginners has some good info, too.