I think throughout his career, Lara's held all the major Test records; the 501 record, the 375 record, the 400 record, the most runs in a test over record (done twice), the fastest to 10,000 runs record (which he still holds, without the benefit of minnow bashing), the most 100s in a first class season record (five of which were in a row, narrowly missing the six centuries in a row record - he hit a sixth century in the next game). He's also held the "highest number of test runs in world history" record, when he surpassed Border. He's also only recently lost the "fastest to 11000 Career Runs" record to Sangakkara.
For a period in the mid 90s, he also several times looked like he would hit 200 in ODIs.
Other players may get one or two of these records, but nobody thus far has been able to say they've held all of them.