In an 11-minute interview on the late-night show with host Conan O'Brien, Gretzky reflected on his trade from the Edmonton Oilers to the Los Angeles Kings, his guest appearance on "Saturday Night Live" and several aspects of his on-ice playing career.
Beyond all his records and his place in hockey history, Gretzky's Hollywood persona wouldn't have been as pronounced if it were not for that trade 25 1/2 years ago.
"It was hard for especially people in Edmonton because they weren't just fans, they were friends of mine. A lot of the people that go to all the games, I knew from all the years of being in Edmonton," Gretzky said of the deal. "So it was difficult for everyone. But you look back at it now and everything happens for a reason and we love it here in L.A. and the NHL is thriving here and everyone seems to be doing OK."
The Oilers won their fifth Stanley Cup in 1990 without Gretzky and made it to the final in 2006 before losing to the Carolina Hurricanes. The Kings made it to the final in 1993 with Gretzky before losing to the Montreal Canadiens, then won their first title in franchise history in 2012.
Edmonton hasn't made the playoffs since 2006 and is still in a rebuilding stage. Just now is a new downtown arena under construction.
But Gretzky was on "Conan" for the NHL's Stadium Series debut, which is Saturday between the Kings and the league-leading Anaheim Ducks. He called the game happening at Dodger Stadium a "real big dream."
Even before this promotional tour, the "Great One" said he was an advocate of outdoor hockey in Los Angeles.
"I'd love to see an outdoor game in L.A. because we see the Winter Classic and the Heritage Classic with the snow and that's all wonderful. But a big part of our game, too, now and the success of the National Hockey League is California and places like that," Gretzky said before the Hockey Hall of Fame induction ceremony in November. "It's going to be wonderful to see people sitting at Dodger Stadium when it's 65 degrees (F) and they're sitting there in shorts and T-shirts and enjoying a National Hockey League game. I think it's going to be wonderful for our sport."
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Ducks coach Bruce Boudreau said after a California heat wave last week he was looking forward to cooler temperatures for this game.
"I think it's going to be completely unique and it's going to be tremendous playing in 60-degree weather outside under the stars," Boudreau said. "I think a lot of people will be real interested to see how that works."
Ice technology has improved drastically in the 22-plus years since that Las Vegas game. As Gretzky acknowledged during his appearance on "Conan," so has the NHL, in general.
O'Brien asked Gretzky about a so-called unwritten rule that opponents wouldn't hit him, which the former Kings captain refuted.
"I didn't get hit as much as people probably wanted me to get hit, especially on the opposing teams," Gretzky said. "I knew it was time to retire when I was playing my last year and people I was playing against before they would hit me, they would scream my name or say, 'Hey, heads up' or, 'Wayne, get out of the way,' or 'Here we are.' I remember thinking, 'Wow, something's not right about this.'"
Gretzky then told a story about going to a game with his wife and two sons and sitting in the front row when one of them said to their mother: "Be really honest, did dad really play in this league?"
When Gretzky did play in the NHL, he set career records with 894 goals, 1,963 assists and 2,857 points and single-season ones along the way, including 92 goals in 1981-82. O'Brien asked if Gretzky thought "some punk kid" was going to come along and score 93 in a season.
"Records are made to be broken," Gretzky said. "When I grew up my idol was Gordie Howe, and he couldn't have been any nicer, couldn't have been any better. He was just a really good man. When I broke his records, he was always the first guy there.
"So if anybody ever breaks my records, I'll be the first guy to shake his hand. The players are good today, there's a lot of good players. Never's a long time."
Gretzky went on to say his record he believes will be the hardest to break is 50 goals in 39 games, "because 50 goals in 38 games is a lot of goals."
"Yes," O'Brien responded. "That's pretty good. We'll see."
Gretzky said that being the smallest but never the fastest or toughest player at any point of his hockey-playing career made him consistent in his style. When O'Brien brought up the topic of "Gretzky's Office," and his penchant to control the flow of play from behind the net, Gretzky credited Philadelphia Flyers Hall of Famer Bobby Clarke.
"I had a coach when I was 14 years old that said: 'Go watch this guy Bobby Clarke play and watch how he plays. He's not very big, he's smart, he passes the puck and he plays sort of from the corner and a little bit behind the net,'" Gretzky recalled. "So at the age of 14 I started watching him day in and day out.
"He probably had the most influence on my career as far as learning how to play the game and the style of game that I played. I learned to play behind the net, and when I started doing that, it was so unique. Nobody had ever tried to defend that. And so I was able to really master it and become really good at it, and that was sort of my forte."
Hockey sense, Gretzky said, was also a strength. Singing, not so much.
O'Brien mentioned that the first time he met Gretzky came in 1989 on the set of "Saturday Night Live." Although Gretzky originally turned down the appearance, his wife, Janet, accepted for him.
On the show, Gretzky had to sing a song called "Waikiki Hockey," despite being, in his words, "tone deaf."
"The funny part of the scene was they had this little piece of meat and I was sort of supposed to hit it," Gretzky said. "And I hit it right into a garbage can. I think everybody was shocked that I put it in the garbage can. It was just completely by accident."
O'Brien, who served as an extra in that scene 25 years ago, joked that "Everyone thought, 'He is the great one, he can fire meat at will.'"
But that was acting, which Gretzky wasn't trying to be great at after going to Los Angeles.
"Athletes come here and they want to be actors sometimes," Gretzky said. "But I never wanted to act, I wanted to be a hockey player."