Two films tie for the record of the most Oscar nominations without a single win. Both The Turning Point (1977) and The Colour Purple (1985) received eleven Oscar nominations, but failed to win a single Academy Award.
On the contrary, Ben-Hur (1959), Titanic (1997) and Lord of the Rings: The Return of the King (2003) all won eleven Oscars each. The latter, most impressively, won all of the categories it had been nominated in.