They do all suffer, and I guess you could argue that Myrtle is not suffering after she dies. Gatsby is the one that stands out to me though. He worked his whole life to get successful, and in the end he still wasn't happy.
George Wilson, Myrtle's husband, is the character who suffers most in my opinion. He loses his wife, twice.
First, Myrtle is cheating on him and he suspects it. He agonizes over the idea of this cheating and the idea of losing Myrtle. Then she gets killed.
His suffering is overwhelming, so much so that he is easily led into a wrongful murder.
Jay Gatbsy is a classic example of the American tragic hero. The book clearly chronicles his rise and fall in the tradition of the greek tragic hero. He is born to poor parents in Minnesota, rises to power and wealth, but due to a tragic flaw, he suffers a tragic fall.
Gatsby spends his life chasing after Daisy. She is the ideal representation of the American Dream. His obsession with her goes beyond that he fell in love with her, but that by devoting his life to pursuing her he devotes his life to chasing this false ideal of wealth and the high life he first sampled on someone else's yacht while he was still in college.
Until Gatsby meets Nick, the implication is that Gatbsy sepnds his time alone. In fact, I would argue that up until he meets Nick and reunites with Daisy, so much of his life was devoted to arranging a reunion with Daisy that he was unable to allow any time or emotion for friendships. What could be more tragic than a lonely life spent chasing a false ideal tht ends in an empty death?
All of the characters of the so-called "lost generation" suffer in one way or another. Myrtle, who tries so hard to fit in and be accepted, is killed. Daisy is treated as a beautiful pawn. Even Nick suffers from a sense of insecurity, never knowing who or what he can trust in his world.
But ultimately, the character who endures the most and varied forms of suffering is Gatsby. He has gone to extraordinary lengths to make himself appear a "catch" for a girl who has never proven herself to be worthy of such sacrifice. Gatsby creates an entire image of himself as a worldly, capable man to entice Daisy to accept him. He throws lavish parties, attended by people he finds repulsive, all in an effort to win her favor. He ends up dead, floating ignominiously in his pool, again, all for Daisy.
As Thoreau said, "Most men live lives of quiet desperation." Gatsby's desperation was outwardly loud, but inwardly his cries for acceptance resonated across the green breast of the land and the lapping stillness of the lake, which separated the "haves" from the "have nots." Gatsby suffers for never feeling at home on either side of the pond.
In Chapter 7, Nick offers a concise explanation of Jay's torment: "The truth was that Jay Gatsby...sprang from his Platonic conception of himself. He was a son of God...he invented...Jay Gatsby...and to this conception he was faithful to the end."