4-months worth in cash in a high-interest account. Personally (and I definitely don't speak for everyone on this) I think it is a horrible idea to have an emergency fund in investments. The last time the majority of people needed to tap their emergency fund was when they got laid-off in the economic downturn. ...Which was also the exact time when investments (index included) were at their absolute lowest in value. To me, it's sort of like keeping the emergency water bucket inside the flammable liquids cabinet. ...Just a bad, bad idea.
I think it helps to define "emergency" for each individual. Personally, a job loss wouldn't be an emergency for me. (I realize I might be in the minority here) Since my wife and I save 50% of our income (and could cut back further if necessary), we would BOTH have to lose our jobs for it to be an emergency. And even then, Unemployment Insurance would cover the great majority of our expenses so that there still wouldn't be many regular expenses to be covered after we exhausted our smaller emergency fund. And of course the chances of dual job loss are pretty slim (for us), so it's worth the extra risk of selling depressed investments in order to benefit from the upside gain by having that money invested.
I was more comfortable with a larger emergency fund when I had less money, but once my taxable accounts approached and surpassed 6 figures, the risk of having to sell when depressed lessens, as even the depressed amount is still a lot of money. So if we both lost our jobs and had to tap depressed investments that would most definitely suck, but we wouldn't starve and I figure we probably wouldn't be retiring early with extended job losses anyway.
As a renter, I have no unexpected housing repairs. That pretty much leaves buying a "new" car because the current one completely dies or major medical event as emergency situations. In fact, the worst case is probably to combine those, a car accident that results in a totaled car and a major medical event. If that happens, you can be sure the last thing that I'll worry about is having to sell some stocks at a 20% loss.
However, none of those scenarios is particularly likely in my opinion, so I think the upside gains of having that money invested outweigh the downside risk of possibly having to sell at a loss. (and of course, selling at a loss can reduce your taxes anyway, so it's not all bad)
If I was a homeowner, had a more cyclical job, was part of a one income family, had a job that was commission based, had kids, or a number of other factors, I could see wanting to have a larger E-Fund. But as part of a DINK couple that rents, there just aren't that many emergencies out there that aren't already covered by insurance. It's important to figure out what constitutes and emergency and do the math for yourself though.