Your question touches on a number of different themes and messages within this novel and I am only going to respond to the central theme which is the American dream and how it relates to the work as a whole. From this basis you can move to look more specifically at other themes you want to focus on.
Although overtly this novel is about the thwarted love between a man and a woman, critics agree that really this work is a meditation on the destruction of the American dream in the 1920s in the face of material prosperity. 1920s America is depicted by Fitzgerald as a place of hedonism, cynicism and greed. The characters in this novel then represent different aspects of this environment. Jay and Nick represent the new youth who are disillusioned with notions of Victorian morality while there are any number of social climbers who flock around Gatsby and his parties, representing the scramble for wealth. The conflict between old money and new money is represented by East Egg and West Egg respectively, and the fortune of Gatsby and Wolfsheim represents the wealth gained through illegal trade.
In Chapter 9, Nick describes what the American Dream used to be about: individualism, discovery and the pursuit of happiness. In this novel however, relaxed social values and easy money have corrupted this dream. We can see this in the central relationship between Gatsby and Jay. Unable to marry her due to social differences, Gatsby is forced to resort to crime to get enough money to impress her. Daisy's lifestyle is characterised by rampant materialism. Of course Gatsby's dream has taken as its focus an object deeply unworthy, and when his dream has crumbled all Gatsby can do is die.