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LINDA: Willy, dear. Talk to them again. There’s no reason why you can’t work in New York.
WILLY: They don’t need me in New York. I’m the New England man. I’m vital in New England. (Act 1)
Willy falsely insists that he is a critical player in his business in order to bolster his sense of self worth. Even though his sales haven't been good for a while, he argues that he is a really important man.
WILLY: You and Hap and I, and I’ll show you all the towns. America is full of beautiful towns and fine, upstanding people. And they know me, boys, they know me up and down New England. The finest people. And when I bring you fellas up, there’ll be open sesame for all of us, ‘cause one thing, boys: I have friends. I can park my car in any street in New England, and the cops protect it like their own. This summer, heh? (Act 1)
Despite evidence that Willy has few friends and is unsuccessful, his inflated sense of pride leads him to insist he is well liked. Biff and Happy are completely enamored with their father when they are young; they totally buy into Willy's B.S. Later on, however, his failures become all too clear.
WILLY: That’s just what I mean, Bernard can get the best marks in school, y’understand, but when he gets out in the business world, y’understand, you are going to be five times ahead of him. That’s why I thank Almighty God you’re both built like Adonises. Because the man who makes an appearance in the business world, the man who creates personal interest, is the man who gets ahead. Be liked and you will never want. You take me, for instance. I never have to wait in line to see a buyer. "Willy Loman is here!" That’s all they have to know and I go right through. (Act 1)
Willy's exaggerated sense of pride suggests his underlying insecurity and desperate concern over meeting his own inflated expectations. It's highly likely that this unfortunate but annoying personality trait is the very reason why everybody makes fun of him. Ironically, it may just stand in the way of him achieving anything to be proud of.