"Yes", from Naked; inspired by Molly Bloom's soliloquy in James Joyce's Ulysses (2002). Live performance http://www.youtube.com/watch?v=htbsGpcc0Fw
“Many years ago a very wise man named Bernard Baruch took me aside and put his arm around my shoulder. "Harpo my boy," he said, "I'm going to give you three pieces of advice, three things you should always remember." My heart jumped and I glowed with expectation. I was going to hear the magic password to a rich, full life from the master himself. "Yes sir?" I said. And he told me the three things. I regret that I've forgotten what they were.”
book, Harpo Speaks
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Harpo Marx 8
American comedian 1888–1964Related quotes

In an interview in Rolling Stones Magazine, September 30, 2010, talking about his father who was killed in WWII.
Miscellaneous

Recounted by Julian Amery, Approach March: A Venture in Autobiography (1973)
Undated

So when I was working in kitchens, I did good work.
As quoted in the New York Times Magazine (11 September 1994).

Source: The Story of his Life Told by Himself (1898), p. 58