When Penny Heyns set world records in prelims and finals in two events (the 200m and 100m breaststroke) on two consecutive days at the Janet Evans Invitational in Los Angeles two weeks ago, she became the first swimmer ever to perform this feat.
Back in 1967, at the AAU Championships held in Philadelphia, Catie Ball set world records on consecutive days in the 100 and 200 breast. The following year she did it again in Los Angeles.
Mark Spitz came close to pulling off the feat. At the 1972 Olympic Trials in Portage Park (Illinois) he set world records in the prelims and finals of the 100 fly on day one, then came back two days later and did it in the 200 fly. (Of course, the only reason he didn’t do it on consecutive days was because flys were scheduled a day apart.)