It is really a meaningless stat considering all the factors i.e. getting to many finals before winning one, tough draws, winning all the sets except for one to a really difficult opponent, etc. but it's still a fun stat.
Ivan Lendl, 1980, Houston
Stefan Edberg, 1984, Milan Indoors
Rafael Nadal, 2004, Sopot
Novak Djokovic, 2006, Amersfoort
There are a few others who have done it, but these stand out as the notable names.
Players like Nastase, Connors, Borg, Vilas, McEnroe, Becker, Wilander, Courier, Agassi, Sampras, Muster, Rios, Rafter, Kafelnikov, Hewitt, Roddick, Safin, and Federer aren't able to say have they accomplished this.