''That's one of the tragedies of this life,'' Rudy Vallee sighs in the madcap middle of The Palm Beach Story. ''That the men who are most in need of a beating-up are always enormous.'' That's also one of the beauties of Preston Sturges: that amid the antic chaos of screwball comedy, he could pull off a philosophical punchline like that. The movies in Preston Sturges: The Filmmaker Collection have influenced filmmakers from Woody Allen to the Coen brothers. With 1940's The Great McGinty, a parable about a hoodlum's rise to power, Sturges became the first person to win the Best Original Screenplay Oscar. In the witty romance Palm Beach, Claudette Colbert shows husband Joel McCrea the upside of gold digging. In The Lady Eve, Barbara Stanwyck gives up grifting for a nerdy ophiologist (a snake scientist: Henry Fonda). And in Sullivan's Travels, which inspired O Brother, Where Art Thou?, McCrea is a spoiled Hollywood director who spends time among the poor and learns that pratfalls and love stories not dreary dramas are what sustain us in this ''cockeyed caravan'' of a life. Universal's seven-film set also includes Sturges' dramatic dud The Great Moment and his clunky comedies Christmas in July and Hail the Conquering Hero. But the extras are mingy. If you're serious about comedy, pick up the loaded Criterion editions of The Lady Eve and Sullivan's Travels, which include commentaries from admirers Noah Baumbach, Christopher Guest, and Michael McKean.