Interesting question!
I think it would be interesting to see the result of this discussion on a non hockey forum. Obviously any poster who has an account on hfboards from any country will have heard of Gretzky but possibly not Terry Fox (as some European posters in this thread have already attested to). However, I know the Terry Fox run is an international event and I would be interested to know how many European non-hockey fans have heard of Terry Fox and not Wayne Gretzky, I would imagine there would be a fair few.
In terms of here in Canada, it is impossible to have gone through the public school system in the past 20ish years and not have heard of Terry Fox. Every year I was in school from 1st to 12th grade our school held a Terry Fox run and, in the lower grades, we often did actual lessons on Terry in the days leading up to the runs. I cannot imagine that anyone who has grown up in Canada does not know Terry Fox but I could see a very very very very outside chance they have not heard of Gretzky. (I actually remember talking to a buddy when I was about 13 who was not a hockey fan and had been born and raised in Canada who thought Gretzky was Russian, yikes.)
Regarding what they actually did, Gretzky was the best player ever in the sport that runs through the veins of Canadians. He was a great ambassador for the game and a great person on top of that. Terry Fox, however, was a hero. He belongs in a class all his own and is one of the greatest Canadians to ever live.