Simply put, he is the most statistically dominant player in hockey history, and quite possibly in all sports. When Gretzky released his autobiography in 1990, it was joked that he had been publishing one for the past few years: it was known as the NHL record book.

When Gretzky retired in 1999, he held or shared 61 official NHL records. Since that time he lost two, but gained one, so currently holds 60 records. I say "official" because there are several more that could be listed, but are not (I don't know the procedure for how the NHL determines what is "official" or not, but it does exist).

Among these records are most goals, assists, and points, both in a single season and in a career. And not only does he own these records, but he is so far ahead of anyone that it is almost incomprehensible: his 2857 career points were more than 1000 more than second place when he retired, and is still currently 936 ahead of second. For reference, someone who scored 1000 points in their career is considered a fairly good player, and has a decent shot of being elected into the Hockey Hall of Fame. Likewise, Gretzky has more career assists, 1963, than anyone else has points (1921). His career goals, 894, is nearly 100 ahead of second place (801), and 130 ahead of third place (766).

The single season records of Gretzky are equally as impressive: he has the highest point total in a season, with 215. He also has the next three highest totals, all over 200 points, and is the only person to score 200 points in a season; the next highest non-Gretzky total is 199. He currently has 9 of the top 13 highest point totals in a season (the other 4 spots are held by one individual, Mario Lemieux), and based on how hockey is played today that is unlikely to ever change. His single-season goal record is 92, the only person to score 90+ (the highest non-Gretzky record is 86). He has 4 of the top 11 goal scoring seasons ever, though Gretzky was famously not a goal scorer, but instead a playmaker (meaning he earned a lot of assists), which is where it is really impressive. As noted Gretzky has more assists than anyone else has points, and this really shows in the single-season records: his career high was 163, which on its own would be the 11th highest scoring season in history. He holds the top 7 seasons for most assists, and 11 of the top 13. I mention 13 because that is how many 100 assist seasons have happened: Bobby Orr did it once, Mario Lemieux did it once, and Gretzky did it 11 times, all consecutively. Gretzky led the league in points during the season 10 times in his career, and he could have done that just with his assists three times and tied for a fourth.

I could go on with this, and will be happy to do so, but I think the point is made. And consider that this only touches on a small sample of what he did. I hate to cite a Wikipedia article, but there is one that covers his records and shows all this, numbers and all: List of career achievements by Wayne Gretzky. A final anecdote about this: Gretzky played in the 1980s, when fantasy sports was starting to become a big thing. Fantasy hockey usually just counted points scored, and competitors could pick players for their teams. Except Gretzky, who was divided into "Gretzky goals" and "Gretzky assists" (I don't know the specifics of this, and honestly it may be more legend than fact, but is a widely-repeated mantra when discussing his legacy).

So to answer the question, it was just the sheer dominance of Gretzky compared to his peers. No one has managed to come close to doing what he did. That said when considering the greatest NHL player in history he is grouped in with the so-called "Big Four": Gretzky, Gordie Howe, Bobby Orr, and Mario Lemieux. Some rankings may have one of these four in the top spot for various reasons, but they are all unquestionably the top four, and by a wide margin Gretzky is always at the top (I'll note the reasons for all four below).