Hey look! It's Wayne Gretzky with Richard Marx!
Here he is with Rod Stewart!
They say sports stars want to be rock stars and rock stars want to be sports stars. Gretz would look pretty awkward singing, just see his cameo in the Nickelback video "Rock Star."
That being said, one of the great indy songs out there is called "Wayne Gretzky Rocks." It is by the Pursuit of Happiness, not the Arrogant Worms as suggested in the following YouTube special: