League approval is needed for expansion and the sale of franchises, but not necessarily for relocation - just ask Al Davis. In 1982 he moved the Raiders to LA without NFL approval. The league tried (unsuccessfully) to block the move - the Raiders filed (and won) an anti-trust suit agianst the league. That opened the floodgate of NFL relocations - the Baltimore Colts to Indianapolis in '84, the St Louis Cardinals to Arizona in '88, the LA Rams to St Louis in '95, the Cleveland Browns to Baltimore in '96, the Houston Oilers to Tennessee in '97. Many of those moves (particularly the Colts and the Browns) were opposed by the league.
That is why, despite all the platitudes from Paul Tagliabue, fans of the New Orleans Saints are very nervous.
It is also uncertain if a league could block a sale of a team to new owners:
http://espn.go.com/mlb/s/2001/1205/1290707.html
So it appears uncertain that the NHL, which has no anti trust exemption, could successfully block the sale (and relocation) of a franchise, if an owner was willing to fight - an NHL Al Davis anyone?