To me this one is dead even. His career in Montreal was longer and more successful (in terms of personal accolades, championships are of course equal), but being a Red Wings fan most of my feelings about Roy (pretty much all negative, as if you had to ask) were formed during his days with the Avalanche. People often wonder about why the Wings-Avs rivalry has lost its luster in recent years, and the single biggest factor (in my opinion) was Roy retiring in after 2002.
It's a dead heat, but I'll give the slightest edge to the Avs.
After he left Montreal the way he did, he somewhat tarnished his legacy here. Maybe that will change when they retire his number next year (and they will, no matter how much I oppose it), but for now I'll say the Avs.
edit: I just noticed you stole something else other than the concept from the Messier thread