No user would look at these much of records on a page.
So, what you can do is, just fetch the number of records you want to show on a page.
Also implement
Custom Paging, that means you will design one
SQL Procedure which will take input as Page Number and the Number of Records you need and return you accordingly.
You can see one Example -
Custom Paging in ASP.Net GridView using SQL Server Stored Procedure[
^].
And yes as you said, you can implement
jQuery Ajax to get the Data and bind to
GridView
.
You can also use
jQGrids.