doesent have to be all night but a few would go down well if i could think of any.

Any jazz by Ellington or Louis Armstrong, it was very much a jazz era.
The Charleston and Black bottom were popular dances of the time.
There are a few good CD's on iTunes for about £8/£10 which would give you all you need.

For 1920's music try and get hold of the Bugsy Malone soundtrack. Everyone remembers that film and more importantly the songs. Not sure that they are songs from the 20's but defo in the style of!

Bugsy soundtrack