As an American Literature teacher, it was the highlight of my life to go on this little tour of the "real" setting behind The Great Gatsby! I have included a map of the area here, so you can see it clearly. West Egg and East Egg are now called "Great Neck" on Long Island, New York. Although I would disagree with Fitzgerald that the two "unusual formations of land" actually look like eggs, I suppose they do look a bit like peninsular eggs, . . if you squint your eyes. The bay in between them is often called "Manhasset Bay" because the town of Manhasset is right at the base of the bay. If you go east (towards New York City) on 495, you will pass right by the Valley of Ashes, which Fitzgerald adequately describes as located in "the borough of Queens."
Just as a little side note, there really are huge mansions on the two "eggs" in Great Neck (and some of them are on a street called Gatsby Lane), . . . and Queens really is a Valley of Ashes (at least in the sense that the socioeconomic level is vastly different between the two areas). In addition, I found it totally titillating that Daisy really would have had a green light on her dock, . . . if you follow the old rule of "green going, red right returning."
I just wanted to clear up a point from someone else's answer to this question. The response I saw states that East Egg and West Egg are now known as Great Neck. This is partially accurate. I grew up in Great Neck, which is, in fact, the area described in The Great Gatsby as "West Egg". Additionally, a street called Gatsby Lane does in fact exist and is set in the location where the mansion is described. However, East Egg is not Great Neck, it is a separate town called Sands Point. If you look for these two towns on any map of Long Island, you will easily be able to locate East and West Eggs.