Jack Benny and Groucho Marx are two of my favorite comedians of all time. They first knew each other from the vaudeville circuit; Groucho (then known as Julius Marx) would get Benny (then known as violinist Benjamin Kublesky) laughing so hard they'd have to hold up the show and wait for him to calm down.
Four decades or so later, they were performing together on TV.
Jack's doing everything he can to win some money, including wearing a disguise that fools absolutely no one. His look of despondence at Groucho's final question is so wonderful - almost as wonderful as Groucho's look of glee as he asks that question. And you'll note that Groucho can still get Jack to break character with almost no effort.