I have a blog on the subject here. 

PageMethods need to be static and they need to exist on a page.  Both of these inhibit the module developer from utilizing them.  The only way to use them would be to have a separate asmx file.  That said, the ClientAPI has allowed callbacks since version 3.x of DNN.  Additionally, the new functionality found in DNN 5 will allow for even more functionality that mimics the PageMethods ability to call a server-side method with one or more "complex" parameters.  I have termed this capability ControlMethods to emphesize that they can be called in a Control (a module is a usercontrol).  More information on how to implement these is found on codeplex, including videos.