The winning goal in the shootout went to Trent Hunter, who roofed one at the top of the Edmonton crease top corner glove side behind Markkanen.
Prior to the Hunter winner, Yashin went five-hole on Markkanen and Hemsky replied with a deke five-hole on DiPietro.
The crowd gave Oilers forward Michael Peca an ovation to start the game for his three seasons of service with the Islanders. Peca took the opening draw against Mike York, for whom he was dealt this past summer.
The Oilers were unable to get anything going on the penalty kill in the early going. New York penalty killers denied them even a single shot during the allotted two minutes. In fact, the Oilers were only able to muster one shot on goal over their first four power plays of the game.
Shots on goal 13 minutes into the opening period were 6-1 for the Oilers with the best chances coming on a flurry in front of DiPietro.
Edmonton continued to press late in the period and it eventually paid off in the game's first goal. Ethan Moreau threw the puck across the crease to Fernando Pisani. Pisani's shot was tipped in front by Islanders defenceman Bruno Gervais and through the legs of DiPietro.
The Oilers carried the play for the majority of the opening period, outshooting the Islanders 10-4.
Edmonton's momentum from a strong first period carried over to the early portion of the second. The Oilers blasted the first four shots of the period as they had the Islanders on their heels but could not convert on their chances.
Late in the period, the Islanders had an extended power play due to penalties to Pisani and Peca and put the pressure on the Oilers penalty killers.
Jussi Markkanen came up with a miraculous glove stop on Jason Blake to keep the Oilers ahead 1-0. However, seconds later the Islanders scored to tie it up.
Arron Asham tipped a Brad Lukowich point shot that found its way in the back of the Edmonton net for a power-play goal.
After two, shots were 19-16 for the Oilers.
Just like the first two periods, Edmonton came flying out of the gate to start the third. Outshooting the Islanders 4-1 in the opening five minutes, the Oilers pressed but couldn't convert.
Midway through the period, momentum started to shift New York's way. Markkanen was able to hold off the Islanders as Satan and Yashin buzzed around the Edmonton goal.
The Islanders took the lead at the 10:44 mark of the third period. Chris Campoli teed up a blast from the point that was tipped in front by Trent Hunter for New York's second power play goal of the night.
Edmonton's last gasp to tie the game came after Brent Sopel took a four-minute high sticking penalty with several minutes to play in the game.
Islanders penalty killers killed off the first seven Edmonton man advantages of the game, but this eighth power play did them in.
Chris Pronger took the puck in the slot and wired it high behind DiPietro to tie the game at 2-2. Because of the four-minute penalty to Sopel, the Oilers power play carried on to overtime.
The Islanders killed off the remaining minute on the Sopel penalty and late in the extra frame went on a power play of their own after Horcoff was sent off for two minutes.
Edmonton was able to kill off the penalty, setting the stage for the shootout.
OILERS SHOOTERS: Pisani, Hemsky, Smyth
ISLANDERS SHOOTERS:Yashin, Blake, Hunter
(scorers in bold) NOTES: Jussi Markkanen made the start in goal tonight for the Oilers... Krys Kolanos drew into the lineup, playing on a line with Raffi Torres and Jarret Stoll. Jani Rita was a healthy scratch... The shootout was New York's second straight... Edmonton had not lost in a shootout before tonight's game and are now 3-1. New York is 3-2 in the shootout.