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
One should be careful of an all-inclusive statement that it is ALWAYS faster to sort on the server than on the client. I had a case where I was returning several thousand records sorted by the concatenation of the last name and first name. Neither one of these fields were indexed and I had no control over this. As we know, sorting concatenated strings is not something the database does well intrinsically. It looks numbers and/or indexed fields. Sorting on the client in this case ended up being faster. If I had the control over the database, I would have placed a function index in Oracle on these two fields.
The moral of the story is to ASSUME NOTHING and profile your application to find out what works best for your scenario.