Here is one way to do what you seem to want; note, I've attempted to generalize a few things here. Firstly, you should use descriptive method names (if you want team names, mention team names). Secondly, you should return appropriate types (and you're doing a distinct query) so we should return a Set - I picked a sorted set, but that's not in anyway mandatory. Next, I chose to pass the Connection object into the method. It's a good idea to close resources in the block that opens them, and thusly I only close the PreparedStatement and ResultSet objects. Finally, if you don't keep your comments updated with your code they are worse then useless.
// I think sorting the team names is good idea, and they're distinct...
private SortedSet<String> getTeamNames(Connection conn) {
  // Let's use a Set!
  SortedSet<String> teamNames = new TreeSet<String>();
  // get all team names from database, at least store the query in a local 
  // String variable. You should probably extract it to a properties file.
  final String query = "SELECT DISTINCT TEAMNAME FROM APP.TEAMEVAL";
  PreparedStatement ps = null;
  ResultSet rs = null;
  try {
    ps = conn.prepareStatement(query);
    rs = ps.executeQuery();
    // add team names to teamNames
    while (rs.next()) {
      teamNames.add(rs.getString("TEAMNAME"));
    }
  } catch (SQLException e) {
    e.printStackTrace();
  } finally {
    if (rs != null) {
      try {
        rs.close();
      } catch (SQLException e) {
        e.printStackTrace();
      }
    }
    if (ps != null) {
      try {
        ps.close();
      } catch (SQLException e) {
        e.printStackTrace();
      }
    }
  }
  return teamNames;
}