I agree with Leo that I would rather this module implemented as an extension to Data::Page. However, I really like that it helps to generate HTML, while still allowing you complete control over final HTML if you want that.
I added an example to Annocpan that demostrates that the interface is flexible enough to allow you to use it in conjunction with a templating system to provide the final logic and HTML code.
Appologies for the previous version of this comment.. now updated...
I'm the author of Data::Pageset.
This module is fine at what it does, but it would have made more sense to put code around Data::Pageset if you want to automatically generate HTML as that is the only addition this module has over Data::Pageset.
The reason Data::Pageset doesn't generate HTML is that you are instantly restricting the usage of the module, and more so I consider this a design issue which should happen in the template; what happens if you need to add a class tag to the link - or additional parameter other than the page number?
Data::Pageset also inherits from Data::Page rather than storing it in the object so you can easily migrate between the two.