Thank you all. The discussion has helped clarify my thinking about this.
I didn't give a lot of details about my situation (apologies for that), so a wide range of responses make sense.
A few thoughts and points related to the comments:
1. The only reason I'm considering tax-sheltering the gains in my emergency fund, when they are likely to be very modest, is that I have the room in the TFSA right now. I have now filled up my RRSP room and am working on filling up my wife's, but it will be several years yet before we can can fill up the TFSA room. Once that happens, "investment grade" money will push the emergency fund back out into a non-registered account.
2. Why have an emergency fund at all? With credit card room and line of credit, I can certainly float all the usual "emergencies" which were pointed out by Bob Werner to be expected, just not scheduled. The key for me is that we live in Vancouver and have a mortgage. Being Canada, there's no mortgage tax deduction, so in addition to the Vancouver-sized payment, I'm dumping in a lot of extra principal (while still maxing out my RRSP and very close to matching out my wife's). There are good arguments for paying the minimum on the mortgage and maxing out the TFSAs right away rather than paying extra principal, but let's call this my Canadian compromise. The emergency fund is to ensure that the mortgage doesn't become a problem in the event of the loss of one of our incomes. Even if that happened, we could get by on one income, but that would require refinancing the mortgage into a longer term to bring the payment down.
3. The mortgage will be paid off in five years barring anything unexpected, so what I'm really looking for is suggestions on how to have the emergency fund generate a moderate return for a moderate risk. One way or another, I'm not going to make much off this "investment" but can it be "a little" versus "very little." The final payment to finish off the mortgage will probably be the contents of the emergency fund itself, since it won't be necessary any more.