I think you want to use pager_query and tablesort_sql: it's especially made for creating tables of data with pagination and sorting capabilities (and themes usually theme such tables nicely out of the box).
Example:
<?php
// The regular query without sorting or pagination parameters
$sql = 'SELECT cid, first_name, last_name, company, city FROM {clients}';
// Number of rows per page
$limit = 20;
// List of table columns ("field" is the matching database column from the sql query)
$header = array(
array('data' => t('Name'), 'field' => 'last_name', 'sort' => 'asc'),
array('data' => t('Company'), 'field' => 'company'),
array('data' => t('City'), 'field' => 'city')
);
// Calculates how to modify the SQL query according to the current pagination and sorting settings
// Then performs the database query
$tablesort = tablesort_sql($header);
$result = pager_query($sql . $tablesort, $limit);
$rows = array();
while ($client = db_fetch_object($result)) {
$rows[] = array(l($client->last_name.', '.$client->first_name, 'client/'.$client->cid), $client->company, $client->city);
}
// A message in case no results were found
if (!$rows) {
$rows[] = array(array('data' => t('No client accounts created yet.'), 'colspan' => 3));
}
// Then you can pass the data to the theme functions
$output .= theme('table', $header, $rows);
$output .= theme('pager', NULL, $limit, 0);
// And return the HTML output
print $output;
?>
(I added comments, but the original version of the example comes from this page)
Alternatively, maybe you don't need to make a module at all if you're just trying to make a page that displays a list of data, you may prefer using the Views module.