Babe Ruth.
I never saw Jordan or LeBron play, but I have seen Gretzky play. I was playing hockey regularly at that time, and (thought I) knew the game. I was sitting up in the 300's at the Hartford Civic Center, and so I could see the whole ice pretty clearly. There were times when I simply could not understand what he was doing on the ice, and yet, seconds later, the play was in front of him, he had the puck and was basically "running" the game. I've never seen anything like it, frankly, and for that I think he changed the game.
I think given what came before, Babe Ruth did the same thing. When he hit 29 homers in 1919, it was more than the league leaders in the TWO PREVIOUS seasons combined. When he hit 54 the following year, it was more than the last THREE years combined, including his, and the last SIX years if you don't include his. When he hit 29, the NL leader hit 12. When he hit 54, the NL leader hit 15. Add to that his average, AND the fact that he was an All-Star pitcher (two time 20-game winner, 3-0 in World Series, with an 0.87 ERA), and I think people have been playing catch up to him for decades.
My second: Joe DiMaggio.