I don't think Gretzky v Lemieux is much of a rivalry at all. They never played against one another much, especially in games that really mattered.
I agree it was not much of a rivalry, but not necessarily because they never played against one another much. The reason for that is Gretzky beating on Mario in a nearly monumental manner:
They played 23 games against one another. And in those, numbers went like this:
Gretzky 15 41
56 +16 2.43 PPG
Lemieux 11 27
38 -13 1.65 PPG
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Gretzky did to Lemieux what he was doing to other mortals. He had more assists than Lemieux did points.
The worst part is, Gretzky's dominance was a lasting one. It went on even after his departure from Edmonton.
With-Edmonton Gretzky and Lemieux locked the horns in 9 games:
Gretzky: 7 15 22 +1 2.44 PPG
Lemieux: 3 10 13 -2 1.44 PPG
The remaining 14 games after the Gretzky trade:
Gretzky: 8 26 34 +15 2.42 PPG
Lemieux: 8 17 25 -11 1.78 PPG
(Note that Gretzky still had more assists than Lemieux had points.)
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It could have been a great one -- but the great one was too alone in this.