Crash Course U.S. History: The Roaring 20's
http://www.youtube.com/watch?v=VfOR1XCMf7A
An episode of the webseries Crash Course: U.S. History that details the 1920's in the United States, with information about Prohibition, social conventions, and other necessary context for The Great Gatsby.
The Library of Congress: Prosperity and Thrift
http://lcweb2.loc.gov/ammem/coolhtml/coolhome.html
A collection of historical documents relating to the 1920's in the United States.
Biography.com: The Jazz Age
http://www.biography.com/tv/classroom/harlem-renaissance#tja
Biographies on various personalities from the Harlem Renaissance and the Jazz Age.