Establishing if or when those immigrant parents naturalized isn't easy. Naturalization records are hardly comprehensively available online. And because nobody really cared about a Presidential candidate's parents' citizenship until 2008, it's often not mentioned in online profiles of the candidates. And there are a LOT of candidates to sort through. Heck, it's often not mentioned for men who actually served as Vice President.
Take Mike Gravel, for instance. He ran in 2008, both of his parents were immigrants from Quebec, but I have no idea when or if either ever became US citizens. No one ever asked.
I do know for a fact that Bill Richardson's mom never naturalized. She was and still is a Mexican citizen.
He's not a major candidate, but I know for a fact that Andy Martin's dad didn't naturalize until he was 5. And he's run before and has already declared his candidacy for 2012.
Chester Arthur, we all know. James Buchanan's father was an immigrant, and I don't know of any evidence that he ever naturalized.
And John Charles Fremont, the first Republican Presidential candidate, was the son of a rather disreputable French immigrant who almost certainly did not naturalize. This was also definitely public knowledge at the time, because the relationship between his parents when they met (privileged mother, low-life father) was somewhat scandalous.
Re: James Buchanan
James Buchanan’s father emigrated to the U.S. from Ireland in 1783. When the U.S Constitution was adopted in 1787 (and ratified in 1788), it conferred citizenship upon everyone living in the States. Therefore James Buchanan’s father was a citizen of the United States when James Buchanan was born in 1791. So, James Buchanan was a natural born citizen.