LORELAI: What did you say?
RORY: That I had a rash and that I had to take it off until it healed.
LORELAI: Nice save, Gretzky.
Wayne Gretzky (born 1961), Canadian former ice hockey player and coach. Nicknamed “The Great One”, he is regarded in many quarters as the greatest hockey player of all time. He is the leading goal scorer and point scorer in the US National Hockey League, and upon his retirement in 1999, was immediately inducted into the Hockey Hall of Fame.
In ice hockey, a goaltender is credited with a “save” when they prevent the opposing team from scoring, so Lorelai is comparing Rory’s move to Gretzky’s ability to save goals. Gretzky was actually a centerman, not a goaltender. Lorelai frequently gets sports references a bit wrong.