Though sparsely referenced in the story, Dan Cody is an important character. According to chapter 6, he was a mining/metal tycoon who had been touring the in a yacht when he met Gatsby. This meeting is the origin of the Jay Gatsby we know in the story. On impulse, he changed his name from James Gatz and invented the details of his life he would stand by until the end of the story.
Cody served as Gatsby's mentor, and may have been the one who taught him the business practices that would serve him as a bootlegger later in life. He was apparently a heavy drinker, as Gatsby's primary responsibility was to watch over him and prevent him from damaging anything during his drunken binges. This may have influenced Gatsby's tendency to not drink even though liquor is the star attraction at his parties.
It is implied that Cody was assassinated by a covetous mistress. He left Gatsby a $25000 inheritance, which he was never able to claim due to the use of some obscure legal device against him by the mistress. This formed the starting point for Gatsby's story, as without money to support him or Dan Cody to follow around he ended up in the army, where he met Daisy. This fact makes Dan Cody a sort of lynch pin for the entire story, without him, the rest would never have happened.
Source: The Great Gatsby, jillerin.blogspot.com