I've been researching the Lost Generation, for background on Fitzgerald.
The term was applied to the American generation after World War I. Many younger people moved to Europe, particularly Paris. In France, these immigrants were referred to as "Le Generation au Feu", or "The Generation in Flames." The British used the term in reference to the upper-middle class young men who died in World War I. They felt that the war robbed their country of a generation of intelligent, successful young men.
Famous authors of the Lost Generation include Fitzgerald, Hemingway, Cole Porter, Steinbeck, and others. Many of these authors relocated to Paris because they felt dissatisfied with the American way of life during that time period. They felt that the industrialized country lacked a certain cosmopolitan, artistic culture base, one that they felt could be found in Paris.
These authors dramatically changed the style of American writing. They threw away the strict, Victorian style of writing which was prevalent in America at the time. Instead, they began to write in a clear, slim prose. They actively criticized American culture. In This Side of Paradise, Fitzgerald clearly depicts the depression of young people who hide behind the care-free nature of the Jazz Age and the conventions of daily life. The same theme is explored in The Great Gatsby, as each character hides behind an illusion of happiness created by wealth.
This illusion is what the authors of the Lost Generation were trying desperately to combat. They believed that happiness can only be achieved through a cultured, yet also self-aware, existence.