"We're all so very grateful to have jobs in this turkey-burger economy," Fey said after accepting the best comedy series trophy for her satire about a late-night TV show.
"This is the greatest job I've ever had in my life," Baldwin said of his role an a network executive.
He paid tribute to Fey, the NBC show's star and creator, as "the Elaine May of her generation."
"I thank my parents for somehow raising me to have confidence that is disproportionate with my looks and abilities. Well done. That is what all parents should do," said Fey, who also won for best actress and writing in a comedy series.
Emmy voters rewarded quality, not ratings: Many of the winners draw relatively small audiences. AMC's "Mad Men," which looks at America through the prism of Madison Avenue, is lucky to get 2 million viewers.
Glenn Close of FX's "Damages" and Bryan Cranston of AMC's "Breaking Bad" captured drama acting trophies.
Close, honored for her portrayal of a ruthless attorney, complimented her fellow nominees, including Holly Hunter and Sally Field.
"We're proving that complicated, powerful, mature women are sexy in high entertainment and can carry a show," she said. "I call us the sisterhood of the TV drama divas."
Cranston won the trophy for his role of a desperate man who turns to making drugs.
Dianne Wiest of "In Treatment" and Zeljko Ivanek of "Damages" won supporting acting honors for the drama series. Jean Smart of ABC's "Samantha Who?" was honored as best supporting actress in a comedy series, with Jeremy Piven her actor counterpart for "Entourage."
Piven took aim at the five reality hosts who helped open the ceremony in what could charitably called a rambling way, saying, "What if I just kept talking for 12 minutes -- what would happen? That was the opening."
The crowd at the 60th annual Primetime Emmy Awards laughed heartily, not a good sign for the hosts, who included Ryan Seacreast of "American Idol."
Don Rickles was honored for best individual performance in a variety or music program for "Mr. Warmth: The Don Rickles Project."
"It's a mistake," Rickles said. "I've been in the business 55 years and the biggest award I got was an ashtray from the Friar's in New York."
Best reality-competition program went to "The Amazing Race," the show's sixth award. It and "The Daily Show with Jon Stewart" are now tied for most consecutive awards in a best-series category.
Jeff Probst of "Survivor," one of the ceremony's masters of ceremonies, claimed the first award for best reality series host. "We feel honored to be part of this family. Thank you for letting reality in," he said.
As the evening progressed, politics went from having a cameo to a co-starring role.
"I really look forward to the next administration, whoever it is," Jon Stewart said as he accepted the best variety, music or comedy series award for "The Daily Show." "I have nothing to follow that. I just really look forward to the next administration."
Later, Stewart and Stephen Colbert, whose "The Colbert Report" won a writing trophy, teamed to present an award -- and exchange banter in which they used a package of prunes as a metaphor for the upcoming presidential election.
"America needs prunes. It may not be a young, sexy plum. Granted, it's shriveled and at times hard to swallow. But this dried-up old prune has the experience we need," Colbert said.
Tommy Smothers received a commemorative writing achievement for his work on the cutting-edge and controversial "The Smothers Brothers Comedy Hour" from the late '60s -- and turned serious.
"It's hard for me to stay silent when I keep hearing that peace is only attainable through war. And there's nothing more scary than watching ignorance in action," he said, dedicating his award to "all people who feel compelled to speak out, and are not afraid to speak to power, and won't shut up and refuse to be silenced."
Martin Sheen, who played a president on "The West Wing," lauded television for giving America a front-row seat to real presidential campaigns. Then he urged viewers to vote for "the candidate of your choice, at least once."
The award for best TV movie went to "Recount," about the contested 2000 Bush-Gore contest.
HBO's "John Adams," about the founding father, was named best miniseries and won other awards including acting trophies for Paul Giamatti, Laura Linney and Tom Wilkinson.
The historical drama set a record for most awards, 13, including five trophies Sunday and eight previously announced. The record of 11 was held by HBO's "Angels in America," the TV academy said.
HBO was the most-honored network, with 26 awards earned Sunday and at the creative arts ceremony held earlier this month. ABC was second with 12 awards, followed by CBS, NBC and PBS with 10 each; AMC with eight, Showtime with five and Fox with four.
Throughout the evening, the ceremony kept its landmark 60th birthday in the spotlight with salutes to television's past.
Pop star Josh Groban offered a marathon medley of TV theme songs, ranging from "The Simpsons" to "Mister Rogers' Neighborhood" to "South Park" to "Gilligan's Island." At one point, Ed McMahon kicked in a "Heeeere's Johnny!" to salute Johnny Carson's "Tonight" show.
A tribute to memorable TV dialogue of the past was delivered by the stars of today in an opening clip package.
"One of these days, Alice, pow, right in the kisser!" Helen Mirren said, quoting Jackie Gleason's line from "The Honeymooners."
As the show opened at the Nokia Theatre, Howie Mandel and his fellow hosts riffed about a lack of material for the ceremony.
They then turned to slapstick: "Boston Legal" star William Shatner came on stage to help Tom Bergeron rip off co-host Heidi Klum's modest suit to reveal hot pants and more skin.