Who is the first Saturday night live cast member to be nominated for an Academy Award?

Dan Ackroyd for his supporting role in "Driving Miss Daisy"

Correction:

Who was the first Saturday Night Live player to be nominated for an Oscar?

Six SNLers have been nominated for Oscars and they are:

George Coe (on SNL in 1975): Nominated Best Short Subject, Live Action Subjects -The Dove, 1968 (before he was on SNL)

Randy Quaid (on SNL 1985-86): Nominated Best Supporting Actor-The Last Detail, 1973 (also before appearing on SNL)

Joan Cusack (on SNL 1985-86):Nominated Best Supporting Actress-Working Girl, 1988; Nominated Best Supporting Actress-In & Out, 1997

Dan Aykroyd (on SNL 1975-79): Nominated Best Supporting Actor-Driving Miss Daisy, 1989

Robert Downey Jr. (on SNL 1985-86): Nominated Best Leading Actor-Chaplin, 1992; Nominated Best Supporting Actor-Tropic Thunder, 2008

Bill Murray (on SNL 1977-1980): Nominated Best Leading Actor-Lost in Translation, 2003

To date, no SNLer has won an Oscar

Corrections and additions:

Eddie Murphy (on SNL 1980-84): Nominated Best Supporting Actor-Dream Girls, 2007

Michael McKean (on SNL 1994-95): Nominated Best Song-A Mighty Wind, 2004 (with Annette O'Toole)

Kristen Wiig (on SNL 2005-present): Nominated Best Original Screenplay-Bridesmaids, 2011 (with Annie Mumolo)