Like any other performance related question, the universal answer is... "It Depends." However, I have developed a preference for sorting on the client. We write browser-based apps, and my definition of client is split between the web servers an the actual end-user client, the browser. I have two reasons for preferring sorting on the client to sorting in the DB.
First, there's the issue of the "right" place to do it from a design point of view. Most of the time the order of data isn't a business rule thing but rather a end-user convenience thing, so I view it as a function of the presentation, and I don't like to push presentation issues into the database. There are exceptions, for example, where the current price for an item is the most recent one on file. If you're getting price with something like:
SELECT TOP 1 price
FROM itemprice
WHERE ItemNumber = ?
AND effectivedate <= getdate()
ORDER BY effectivedate DESC
Then the order of the rows is very much a part of the business rule and obviously belongs in the database. However, if you're sorting on LastName when the user views customer by last name, and then again on FirstName when they click the FirstName column header, and again on State when they click that header then your sorting is a function of the presentation and belongs in the presentation layer.
The second reason I prefer sorting in the client layer is one of performance. Web servers scale horizontally, that is, if I overload my web server with users I can add another, and another, and another. I can have as many frontend servers as I need to handle the load and everything works just fine. But, if I overload the database I'm screwed. Databases scale vertically, you can throw more hardware at the problem, sure, but at some point that becomes cost prohibitive, so I like to let the DB do the selection, which it has to do, and let the client do the sorting, which it can to quite simply.