There is a fine autobiography, Harpo Speaks, which is not only hilarious but tells a lot about the period in which he lived and worked. I highly recommend the book.
I recently ran across a website Harposplace.com, set up by his son Bill Marx. It is very comprehensive and you can learn a lot about the man as well as his character.
Here is a video of Harpo playing an excerpt from the Second Hungarian Rhapsody of Franz Liszt. Not an easy piece to play!