The Pet Shop Boys took a disco song and turned it into an electronic utopian dream, creating an overly grandiose—if absurd—anthem out of a cheerful ditty. Neil Tennant, though he initially disliked the original song and called it "ghastly" (source), was sold when he realized it was a souped-up version of Pachelbel's Canon, following the same familiar chord progression.
When Tennant realized the song could be recorded with a full choir, he got even more into the idea. "I liked the idea of doing vocals like 'There Is Nothing Like a Dame' from South Pacific on a pop record, a big choir of butch men, so we got a group of Broadway singers in New York arranged by Richard Niles to perform it in that style," says Tennant. (Source)
The choir seems to reminisce in the gay sub-cultural roots of the song and hint at the song's ironic meanings related to gay utopias and HIV/AIDS.
The "big choir of butch men," Neil Tennant's nasal singing, and a club beat are the dominant musical elements, with strings and wind instruments holding down the chord progression in the orchestral Pachelbel's Canon style. A woman sings out a call to "go west" in a gospel form over the occasional jazzy horn section, which drops in sounding quite a bit like a college marching band.
To top off the song's general weirdness, seagulls caw in the background and the song opens and closes with sampled ocean sounds. And who does a utopian anthem without a dramatic key change?
In fact, on close inspection, "Go West" is pretty creative for a pop song. The elements altogether have an unpredictable sound. You might not fully realize it on a club dance floor, but the song's catchiness probably owes something to its quirky creativity.