Should I pass the whole list of entities from Database to a WebGrid to have right paging and sorting functionallity?
What if my database entities list is extremely large?
UPDATE: I would suggest MvcContrib Grid for everybody. It is very flexible and way better than standard one.
Should I pass the whole list of entities from Database to a WebGrid to have right paging and sorting functionallity?
No, of course not, that would be catastrophic. You should implement paging on the server. And here's another article on MSDN you may find useful.