"I never forget a face, but in your case I'll be glad to make an exception"

Groucho Marx's quote is a funny way of stating that he usually keeps in mind individuals's faces, however in the case of the person he is talking to, he would rather forget. This could be analyzed as a joke, as if the individual he is speaking with is so forgettable that he would rather not remember them. It might likewise be analyzed as a small insult, as if the person he is speaking with is unworthy remembering. Either way, the quote is an amusing way of revealing that the individual he is talking to is not particularly remarkable.