So. Overall. It's a very interesting book, isn't it?
I guess the overall thing that strikes me most about the book is the arc it took. It's a bit like the economic recession, actually. Things started out really high, then they began to get bad pretty quickly, then get even worse. And then when he finally hit rock bottom, darn near the end of the book, we got only a hint of recovery, but less of a recovery and much slower of a recovery than one might have wanted.
Let me tackle the arc another way. In the beginning, we both enjoyed the humor, much of which was poking fun at high society -- at the rich. So we, the readers, know, and deep down Amory knows, that all of this is pretty frivolous and not worth much in the end. But as the book goes on, the lesson gets ingrained in Amory more and more, and in an exceedingly un-funny way. So that by the end, whatever plans he had for himself, whatever family (or even friends) he expected to have, have more or less faded away. In their wake, we have a man who knows himself better than ever before, but can count that knowledge as perhaps the only thing to his name. Oh, and he might become a priest even though he doesn't believe in God. I also think you're right to pinpoint the rain/baptism moment as the beginning of the end, of a sort.
I'm harping on this stuff not because I didn't enjoy the book. I really did. It was great writing, and the better chapters were quick, fun, lively reading. And the ending satisfied, even if it was melancholy. But to answer your "most important" question, that's where the title comes in. In a large sense the book is about the futility of seeking true fulfillment or true happiness "this side of Paradise." Heaven may wait on the other side of this life, while we are living on earth we've got to settle, either for vapid materialism or for destitute self-knowledge (or something in between). I think Fitzgerald chooses the latter. Consider the quote from Rupert Brooke at the beginning of the book, "This side or paradise, there's no comfort in the wise." That seems to sum up Amory's experience fairly well.
You also raise an interesting question when you ask "What is 'Paradise'?" I was using the example of Heaven above, but I suppose it doesn't have to be Heaven. But I do think in the broader sense, Fitzgerald is using the term to mean a place that isn't accessible here on earth, a level of unachievable satisfaction.
That said, if we think of it in a more narrow sense, in terms of the book and its characters, it's interesting to note how Fitzgerald uses the term in the book. Searching through the book on my e-reader, I find just two examples of the word (other than the title page and other references to the title). The first example is the Brooke quote referenced above. The second example is in the chapter about Rosalind:
"They were together constantly, for lunch, for dinner and nearly every evening -- always in a sort of breathless hush, as if they feared that any minute the spell would break and drop them out of this paradise of rose and flame."
That which they feared, is of course what happened, in terms of their relationship and Amory's life in general. Perhaps this is confirmation from Fitzgerald that Rosalind was the great love of Amory's life, and thus, in at least a small sense "This Side of Paradise" might refer to Amory's life now that he can't have Rosalind.
All of this makes it difficult for me to see the book outside of the lens of Fitzgerald's own life. And perhaps the knowledge that things worked out for Fitzgerald, at least professionally, makes me not too depressed over how the book ended for Amory. But it is worth wondering how Amory fares in the long run. I definitely think he's wiser, and thus, in a large sense, better. But I also am not sure he ever finds normalcy or success. I'm not really sure he ever succeeds in being needed.
Yes, let's read another book. Out of the list you gave before, perhaps The Old Man and the Sea would be my choice. But you could convince me to read one of the others. Perhaps Dickens?