Winning an Oscar is pretty easy. They gave one to a former American Idol contestant.
Winning a Grammy is pretty easy. A man named Jimmy Sturr won 18 of them in the Polka category.
Winning an Emmy is pretty easy, unless you're Susan Lucci... but even she got one at the end.
Winning a Tony... well, you get the picture.
Winning all four? It doesn't happen often. Only twelve have taken the coveted EGOT, and two of them had to get a special, non-competitive award to complete the package. Of the twelve, half are Jews: five are the awesome Mel Brooks, the some-consider-awesome Barbra Streisand, and composers Richard Rodgers, Marvin Hamlisch, and Jonathan Tunick.
And then there's director Mike Nichols, best known for "The Graduate". He was born in Germany as Mikhail Peschkowsky, his father a Russian Jewish immigrant. Nichols completed the EGOT in 2001, after winning an Emmy for directing and producing a movie for HBO. He actually has 14 of the EGOT awards altogether, including a Grammy for a... comedy album in 1961.
Sure, take the easy way out.
(Editor's update: As of 2020, producer Scott Rudin and composer Alan Menken have joined the ranks.)