The Coldplay song "Paradise" would be a nice fit for opening chapter of The Great Gatsby.
This chapter is depicts Nick as coming east for a new start, leaving behind some disappointments, some tawdry gossip, and attempting to set out on a new path.
Additionally, we are introduced to Jordan, Tom, Daisy and we get a glimpse of Gatsby as he reaches out his arms on his balcony, reaching for something beyond his grasp. Each of these characters is wrapped up in the pursuit of a specific ideal (though that ideal turns out to be false for most of them).
The Coldplay song, "Paradise", is also about leaving disappointments behind and re-making a life; creating a better future. Another song that may fit, for similar reasons, is "Where the Streets Have No Name" by U2. This song explores a difficult spiritual pursuit somewhat akin to that of the characters in Gatsby, albeit more directly spiritual.