In men's golf, the four major tournaments that make up the "grand slam" are The Masters, U.S. Open, British Open, and PGA Championship.
No one has ever won all four in the same year. However, Tiger Woods won the last 3 majors in 2000 and the 2001 Masters, thus becoming the first person ever to have the championship of all four majors at the same time. Some have taken to calling this a "Tiger Slam".
In addition to Woods, Ben Hogan, Gene Sarazen, Gary Player and Jack Nicklaus have won all 4 majors in their careers

The women's golf grand slam is the U.S. Open, LPGA Classic, Dinah Shore Classic, and the du Maurier Classic. Louise Suggs, Mickey Wright, Pat Bradley, Juli Inkster, and Karrie Webb (updated: 6/24/01) have all won the grand slam in their careers (Suggs and Wright won the Western Open and the Titleholders tournaments, which were majors at the time instead of the Dinah Shore and Du Maurier).
Starting in 2001, the du Maurier is being replaced as a major by the Women's British Open.