Heh, I think, but am not 100% positive, that Gretzky is either an eastern Slavic variant (although I'm not sure of which one) of Górecki (Polish being classified as a western Slavic language) or an English corruption (this is me guessing wildly here).
If anyone is interested, here is the etymology:
Gorecki
Usage: Polish
Extra: Statistics
Means "a person from Górka, Poland". Górka is a town in Poland whose name was ultimately derived from the Slavic gora "mountain".
Source (a great website, there's one for first names as well):
http://surnames.behindthename.com/php/search.php?type=n&terms=gorecki&submit=Go