We've said for years the NHL is the most likely to have the first active openly gay pro athlete in the U.S., and it seems someone at AfterElton agrees. In a lengthy article chronicling many gay sports stories over the years, they've also come to the conclusion that the NFL is the least likely to be the first. I personally think the NBA is by far the least likely because of how many fewer players it has than the NFL, because of the lack of college education of many of the players (same goes for baseball) and because of the street culture that dominates much of the NBA.
At the end of the day, it all just depends on when one athlete is willing to do it, or when a former lover is willing to expose an athlete. You could argue the NFL and NBA have both already had bisexual men in their leagues, so which will be the first to have a gay man is up in the air.