You will most likely need to add some Javascript to your Visualforce page. You can do this by referencing a stand-alone file using a static resource. Use $Resource.<resource_name> as a merge field, where <resource_name> is the name you specified when you uploaded the resource.
<script type="text/javascript" src="{!URLFOR($Resource.NameOfStaticResource')}"></script>
<script type="text/javascript">
//sortable table javascript logic
</script>
Here is one example found by searching on Google : http://www.kryogenix.org/code/browser/sorttable/
I forgot to add the standard Salesforce functionality...
<apex:page showHeader="true" tabstyle="Case"> <apex:ListViews type="Case" /> </apex:page>
Great article on sorting, no javascript required.
http://blog.sforce.com/sforce/2008/09/sorting-collect.html