The two I can think of off the top of my head are
Matt Le Tissier scored all 3 in a 4-3 defeat at home to Notts Forest back in the 90's
Fabrizo Ravenelli at home to Liverpool in a 3-3 draw on his debut for Middlesbrough
Kevin Campbell also netted a hat-trick on the opening day for Nottingham Forest.
Didier Drogba 14/08/2010 v west Brom
4 min. and 32 sec.
Arsenal vs wigan 4-0 No Hat trick not even from RVP
Mike Newell for Blackburn Rovers in the 1995-1996 season, against Rosenberg
Torres when Liverpool won 6-1 vs hull city and Rooney when man u won 4-1 against Portsmouth
Dwight Yorke & Roque Santa Cruz
Duncan Ferguson Kevin Gallagher Gordon Strachan Gary McAllister
Most notably, Thierry Henry, and Nicolas Anelka I think, too.
Robert Earnshaw. He has also scored hattricks in the FA Cup and at international level for Wales.
I'm pretty sure Man Utd hasn't had a player score a hat-trick this season so far.
Dwight Yorke for Aston Villa Roque Santa Cruz In Blackburn Rovers' 5-3 Defeat to Wigan Athletic
Cristiano Ronaldo