No active player has come out in a Big 4 sport in North America except Jason Collins in the NBA, and nobody will sign him now, so he wasn't so much an active player as he was a "hoping to be active" player. Chris Kluwe lost his job as a punter for the Vikings for speaking out in favour of gay marriage.
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Personally, and this isn't speaking as a Canadian, I think it'll break into hockey first (probably not the KHL). A good percentage of NHL players come from very gay friendly countries - Canada, Sweden, Finland - and Americans who play hockey are most likely to come from gay friendly states. A lot of big-name hockey players are very pro-pride too. Whether or not that translates into the locker room is tough to say, but I'd say there's more signs in hockey than in any other sport.
One of the sports shows I listen to said that they "...expect a major player in the NFL to come out in the next year...[will be a player that will not have a problem playing for years to come]..."
Since that statement, it was suggested that the player would be from the SF 49ers. I haven't heard much in the last month or so, but I'm somewhat expecting to hear something after the Super Bowl.