Gatsby is involved in deception. He is not who he appears to be. He came from a poor family and he worked his way to wealth through what we can assume were some business deals of the bootleg or black market variety (as evidenced by his connection with Meyer Wolfsheim). He portrays himself as an Oxford man, and he did attend Oxford for a term, but only because he was allowed to after his time in the service. He does not come from the background that he makes himself appear to come from. In fact, he has put on this mask as a means of getting Daisy whose philosophy is that rich girls don't marry poor boys.
Daisy practices self-deception. She decieves herself into oretending to be happy in a marriage to a man who cheats on her. She believes in the fairy take romance that she starts with Gatsby. Ultimately, she decieves herself and those around her when she retreats to her "happy family" even after killing Myrtle, a crime for which she is never punished.
Tom deceives himself in his belief that Daisy is unaware of his affair.
Myrtle deceives herself into believing Tom loves her and into believing that she is a part of his world on their jaunts to the apartment in the city. She deceives herself into thinking that he will take her away from her poor existence at the gas station.
Nick's self deception is far less evident. He has a general belief in the goodness of humanity that is out to the test by the people he meets. His friendship with Gatsby teaches him the importance of friendship, but it also exposes to him the fact that money and power are not really all that they might have appeared to have been to him in the past.
A final interesting character to consider is Meyer Wolfsheim. He deceives people daily - it is his "career" in a sense. But, he is also perhaps the most grounded and more of a realist about life. He knows that what he does is dangerous, but he takes care to steer clear of the fallout. He knows that people die, people are killed, and he values them for who they are while they are alive and does not mourn them overly much when they are gone.