Fitzgerald used Daisy Buchanan, Jordan Baker, and Myrtle Wilson to show us three ways in which he thought the women of the 20's were shallow and immoral.
Daisy was shallow in that all she really cared about was money, status, and beautiful things. She used Gatsby to fulfill her need for adventure and lust, but as evidenced by the fact that she went back to her "old money" husband after her affair she was never serious about love. When Gatsby died at the end of the novel, she was so shallow that she didn't even attend the funeral. Her immoral nature was all about using people for her own selfish gain.
In Jordan, we see the same inclination toward using men for casual flings, but we also see her penchant for cheating to get ahead when she moved her golf ball to get a better lie. Fitzgerald seems to tell us that she does this often, and therefore is not a talented professional golfer at all...but a liar and a cheat.
Finally, there is Myrtle. She married her husband thinking that he had some money, or at least some potential. She was incensed that he had to borrow a suit to get married in, and can't stand the fact that her husband is a measly mechanic that lives above her shop. To feed her need for wealth, she has an affair with Tom Buchanan and keeps an apartment in the city filled with lavish gifts from her lover.
All three women paint a picture of women who care only for themselves and who will do anything to get what they want.