There's a lot of confusion surrounding this achievement, so here's my attempt to clear it up:
You will need to obtain a player from each team. Be aware that you do NOT need to get anything from the All-Star Teams, National Teams or Top Prospect Teams
since they don't actually have players in HUT. These are the leagues you will need to buy from:
NHL (except All-Star Teams)
Extraliga ledniho hokeje
National League (the Swiss one, not National Teams)
Edit: Thenixhex311 made this handy checklist you can use to keep track of which teams you need: https://drive.google.com/file/d/0BwtkngobSgaJT0VXdEFsOXh6cGM...
You can get the players through packs, but it is much cheaper to buy them off the auction house. I used a total of about 45.000 coins to buy each player on auction. Here's the sort of money you can expect to spend per player as of September '14:
Bronze players: 100-300 coins.
Silver players: 200-700 coins. (SHL players can be overpriced up to 2000 coins)
Gold players: 500-600 coins.
You can of course spend even less than the above if you're willing to wait for good deals to appear. Remember that you can always check your Collection if you're unsure what clubs you need to buy from.