I think there are several factors. First of all, baseball has never caught on in Europe and even in the US baseball is nowhere near as popular as it was in the past (and steroids hasn't helped).
The sad thing is that of all the athletes who have been personal heroes, I can think of none who fit the hero mold better than Lou Gehrig. And as far as tremendous athletes, I would think that Gehrig would be on any all time top ten list and among baseball players I would have to put him in the top five of all time.