I get data from a server and want to display it using GWT on the client.
GWT is not the problem here, you can replace GWT by Ajax calls or you can transpose it to a real
Ideally, the sort should be done on the server because:-
It is best to assume that your client will be having low resources. For example, some people will launch the GWT app from a desktop but another may launch the GWT app from a iPad/phone which is having less CPU/RAM
There are standard ways to do sorting on the server side, for example, by using SQL ORDER BY clause but you may have to implement your own routine/method to do the sorting on the client side.