Alex Rodriguez has the four run HROFOF record.

WEDNESDAY, APRIL 27, 2011 Bases loaded home runs, aka, grand slams.

Lou Gehrig's home run log in baseball-reference indicates that his very first grand slam on July 23, 1925 bounced into the stands at Yankee Stadium under the old rule (fair balls bouncing into the stands were home runs) that was eliminated after the 1930 season.  That means that in a real sense Rodriguez has already tied Gehrig.  Gehrig's only other bounced home run was July 30, 1927 with the bases empty.

Gehrig hit 10 inside the park home runs (IPHR); one was a grand slam: July 5, 1934 at Yankee Stadium.  Rodriguez has no IPHR.
Also of interest: MONDAY, MAY 2, 2011 Grand Slams: more.
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Tuesday Alex Rodriguez extended his four run home run record: 23 home runs over the fence on the fly (HROFOF).  I've coined another phrase.