Do SF BOs support retrieving pages of data? I.e. like the old ADO GetData command, which allowed a starting row and the number of rows to return?
No. You will have to add this logic yourself.
If it does, is the work done in SQL server or on the client? I.e. does the client have get all the data to get the page of data?
It will entail creating a Fill method that knows where is started and what is currently in the BO. It is just a matter of having the logic to retrieve the next set of data based on your logic and requirements.