By the 1920s, women were on the verge of something huge. Jazz, racy fashions, eyebrowraising new attitudes about art and sex--all of this pointed to a sleek, modern world, one that could shake off the grimness of the Great War and stride into the future in one deft, stylized gesture. The women who defined this the Jazz Age--Josephine Baker, Tallulah Bankhead, Diana Cooper, Nancy Cunard, Zelda Fitzgerald, and Tamara de Lempicka--would presage the sexual...