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 application instead of a web app.
Should the sorting be done on the server or on the client using JavaScript after receiving the data and before displaying them?
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.