Paging Events In order to handle paging you have to deal with paging events. The events fire at specific time instances in the page pipeline and because of this you often have to handle data binding in a way to work around the paging events or else end up double binding your data sources based on paging. Yuk.
Styling The GridView pager is a royal pain to beat into submission for styled rendering. The DataPager control has many more options and template layout and it renders somewhat cleaner, but it too is not exactly easy to get a decent display for.
Not a Generic Solution The problem with the ASP.NET controls too is that it’s not generic. GridView, DataGrid use their own internal paging, ListView can use a DataPager and if you want to manually create data layout – well you’re on your own. IOW, depending on what you use you likely have very different looking Paging experiences.
DataSource Controls required for Efficient Data Paging Retrieval The only way you can get paging to work efficiently where only the few records you display on the page are queried for and retrieved from the database you have to use a DataSource control – only the Linq and Entity DataSource controls support this natively. While you can retrieve this data yourself manually, there’s no way to just assign the page number and render the pager based on this custom subset. Other than that default paging requires a full resultset for ASP.NET to filter the data and display only a subset which can be very resource intensive and wasteful if you’re dealing with largish resultsets (although I’m a firm believer in returning actually usable sets :-}). If you use your own business layer that doesn’t fit an ObjectDataSource you’re SOL. That’s a real shame too because with LINQ based querying it’s real easy to retrieve a subset of data that is just the data you want to display but the native Pager functionality doesn’t support just setting properties to display just the subset AFAIK.
DataPager is not Free Standing The DataPager control is the closest thing to a decent Pager implementation that ASP.NET has, but alas it’s not a free standing component – it works off a related control and the only one that it effectively supports from the stock ASP.NET controls is the ListView control. This means you can’t use the same data pager formatting for a grid and a list view or vice versa and you’re always tied to the control.