Most Oscar nominations for a film that didn't win a single Academy Award: "The Turning Point" (1977) and "The Color Purple" (1985) tie for 11 nominations each.
In their lifetimes, Robert Altman, Clarence Brown, Alfred Hitchcock, and King Vidor each failed to take home an Oscar for Best Director despite five nominations apiece. Martin Scorsese is also 0-5, but this year he received his sixth nomination as Best Director for "The Departed."
Peter O'Toole has been a contender for Best Actor seven times without taking home a gold statuette. (In 2003, however, he was awarded an Honorary Oscar.) This year marks his eighth nomination for Best Actor, this time for "Venus."
Actress Deborah Kerr waited from here to eternity to win an Oscar, but was denied a trip to the podium despite six nominations, including one for her role in "The King and I."
Source: ReelClassics.com and IMDB.com