Sweet Taste of Liberty - S1-E3
Corrected entry: After learning that the guy who he thought was hitting on Lily is gay, Marshall says "I've never been in a fight". However, in Season 4, "The Fight", he states that he has been in plenty of fights with his brothers.
Correction: People have different Definitions of what actually constitutes a "fight." He could consider those times with his brothers just "messing around." And the one punch to Doug also wouldn't be considered a fight.
Knever
In the episode with Doug, Future Ted says that he had had full on fights with his brothers, not just roughhousing. Besides The Fight with Doug happened after this episode.