The central similarity between all of these works is the way in which they are all different examples of tragedies. All of them focus on the downfall of one central character, although the reason for this downfall is different depending on each text.
Macbeth is of course a tragic hero in the mould of Aristotle in that his downfall is the result of his own failing. His ambition is the weak point in his character that leads him to commit regicide and other heinous crimes before finally being killed himself for his ambition in trying to seize the Scottish crown and defy fate.
Willy Loman is shown to be a tragic hero, however what is different about his tragedy is that it is something that is brought about by the society that he is a part of rather than it being simply his own responsibility. He is shown to be a victim of American capitalist society that has sold itself to consumerism, and his fate reflects this theme.
Lastly, Jay Gatsby again is a tragic hero, but his tragedy is thanks to the way that he has dedicated himself whole-heartedly to the American Dream and sold himself to this cause. His inability to achieve the glittering prize that Daisy represents to him represents his failure, and his death, occurring through mistaken identity, is undeniably tragic.