Here's a quick piece of code that extends the default CakePHP PaginatorHelper to add css classes to the sort column links to indicate which field is being sorted by, and which direction:
/app/views/helpers/ex_paginator.php:
There's a couple of things I wish were present in CakePHP's excellent HtmlHelper.
Why is #1 important? Imagine a primary navigation that runs across the top of a page: