Below are comparison stats for Patrick Roy and Martin Brodeur (from James Mirtle). It is so difficult to make comparisons when players have played in different eras though there was some overlap between the Roy era and the Brodeur era. Still when you look at wins, Roy never played when shootout existed. Meanwhile Brodeur has 27 wins as a result of shootouts.
So what are the most important stats when comparing star goalies? Are wins an important stat? Probably not so much because you need offense in front of you to win games. Scott Clemmensen looked pretty good in front of the Devil's defense. But he looked like a minor leaguer in the Leafs' net. And maybe goals against average also reflects the quality of a team. I think shutouts are an individual stat less dependent on team performance. And save percentage even more so.