Oilers autographs, on the whole, sell better than other teams. Because of their rarity, however, Blues autograph cards sell very well (there is only one autograph card that depicts him in a Blues uniform from 99/00 Gretzky Exclusives, unless you want to count the 96/97 SPx Gretzky Tribute Autograph that shows him as an Oiler, King, and Blue).
As was suggested as well, this varies greatly on the individual card. For your "typical" Gretzky autograph card, Oilers will most likely be worth more than if he was pictured as a King or Ranger (of course, the depiction of him in a Team Canada uniform adds another layer to this). Finally, if there is any sort of serial numbering (or the more ambiguous "SP"), often that will have as much--if not more--of an effect on the card's value than simply the team shown.