The Custom pager module for Drupal is what makes it possible to do a webcomic site with Drupal. It’s not the whole reason but it’s a key piece.
A couple notes for using it — one if you want the first and last links you’re going to have to add a couple lines to the module file and to the CSS file. I think the more “correct” way is to put it in the template file for the theme (instructions here).
It’s also possible to theme it with images for the links (instead of the words “next” “last” etc) – I’ll add more to this post when i get to that.