Many and various connections might be made between the opening chapters of Fitzgerald's novel and other literary works or personal experiences.
One of the first connections that comes to mind for me is The Wonderful Wizard of Oz and its treatment of the character of the wizard. This figure is first heard about, then later seen through a projection, and finally is revealed as the person he really is. The pattern is very similar for Jay Gatsby.
Comparisons can also be made to Conrad's masterpiece, Heart of Darkness, a novel featuring a figure of mystery and a rather insane degree of hubris who is pursued by the narrator/protagonist. This character also, in this case Kurtz, is first described by a series of people and only later is encountered. The meaning and the truth of this character remains ambiguous to the end, though it is also extremely important to the meaning of the work.