The allure and repulsion of "the Jazz Age" that is present in the novel is also present in Fitzgerald's own life. As Gatsby and nick begin to understand the hollowness in the social excesses of the time period, Fitzgerald recognizes much of the same. The life of the flapper and social extravagance of Daisy and Jordan can be seen in Zelda. At the same time, the lack of positive resolution that is present in the novel is also present in Fitzgerald's own life. When the parties ended, Tom, Daisy, and Jordan move to the next party, Gatsby dies, and Nick moves back to the Midwest. In much the same way, once the 1920s ended, Fitzgerald and Zelda attempt to find some level of solace and comfort in the new America and are not entirely successful. Fitzgerald ends his life as a scriptwriter in Hollywood, attempting to fend off debt. The lack of positive energy present at the end of the novel is also present in Fitzgerald's own life.
There are quite a few parallels between the novel (and especially Gatsby's character) and the life of the author.
Perhaps most importantly, Fitzgerald lived a fairly wild life like the lives led by the people in the novel. He threw and attended parties similar to the ones that Gatsby threw. He lived the same sort of empty life. This led him to alcoholism and eventually to financial ruin.
Like Gatsby, Fitzgerald was in the army in the South. He met a glamorous local girl too, but he married his girl. Later, in France, his wife cheated on him (or at least got "involved" with some guy). This last bit sort of resembles what happens to Tom when Daisy and Gatsby get together.
Although the first two answers are quite superb, I can't let this question slip by without stressing the uncanny similarity between the relationship of Gatsby/Daisy and Fitzgerald/Zelda. It is such an incredible similarity, I wonder how anyone who lived during Fitzgerald's heyday could look him straight in the eye.
Although Fitzgerald wasn't born quite as poor as Gatsby, he still struggled his entire life to become a world-renowned author for the sole purpose of impressing his Zelda Sayre. His upward struggle was to drown out what he called his "black Irish half," which at the time was seen as a negative genealogical quality. Irish immigrants at the turn of the century, were often looked down upon. Through his literature, Fitzgerald achieved financial success; and eNotes actually mentions that this fact "enabled" Fitzgerald to marry Zelda. Even after achieving fame, he still considered himself an outsider, . . . someone who never truly fit in. Um, . . . can anyone say GATSBY?!?
Still, as they lived in the real "West Egg" on Manhassett Bay on Long Island (which still boasts a "Gatsby Lane," by the way), they truly did live that life of the irresponsible rich. I would even delve a bit into the more controversial, . . . and say that Daisy herself had some real emotional/mental problems just as Zelda did. Has anyone else you know ever freaked out over a bunch of shirts? ("I've never seen such beautiful shirts before!")
But the most damning evidence is most definitely in the dedication of the very book we are discussing:
Once again, to Zelda.