The first Emmy nomination for an Oscar host came in 1990 for Billy Crystal. His first show appearance in 1989 was not nominated, though this may have been attributed to no category existed at the time?
Anyway, since then, only 6 times has the host NOT been nominated:
1994 - David Letterman
1998 - Whoopi Goldberg (3rd appearance)
2001 - Whoopi Goldberg (3rd appearance)
2002 - Steve Martin (2nd appearance)
2004 - Chris Rock
2005 - Jon Stewart
So far, only Billy Crystal has won for hosting in 1990 and 1997. This Sunday, Ellen DeGeneres, if she can beat out perennial winner Tony Bennett (or whichever concert singer's nommed in the category), then she would be the first, but the Emmys have some strange fixation with concert performers.