Which Hall of Fame inducted Gretzky immediately after his 1999 retirement?

The Hockey Hall of Fame inducted Gretzky immediately after his 1999 retirement. He entered the Hall on November 22, 1999, just months after playing his final NHL game.

Normally, Hockey Hall of Fame candidates must wait three years after retirement before becoming eligible. Gretzky was the tenth player to have that waiting period waived because of his extraordinary career, and the Hall announced that he would be the last player granted that special treatment.

His résumé included four Stanley Cup championships with the Edmonton Oilers, nine Hart Trophies as NHL MVP and the league’s all-time records for goals, assists and points at retirement. He finished his NHL career with 894 goals, 1,963 assists and 2,857 points.

This induction is often confused with later honours. Gretzky entered the IIHF Hall of Fame in 2000 and the Ontario Sports Hall of Fame in 2004. The immediate post-retirement honour referenced in the question was specifically the Hockey Hall of Fame induction in Toronto.