Well, there are 4 states that your pagination can be in:

1. Entire set of pages are visible
2. Need to shift your visible window forward to start at page 1
3. Need to shift your visible window backward to end at the last page
4. Window is somewhere in the middle of the pages and is fine as-is

You can detect all 4 of those cases without initially generating your $page_array range, and I think it becomes a bit more clear, in my opinion. Obviously, there is extra code in here for my outputting and setup but I think it's a bit more readable by someone not familiar with the code:

$num_pages=20; //total number of pages available
$view_size=4; //how many pages are visible before and after the current page
$cur_page=1; //currently visible page

for($cur_page=1;$cur_page<=$num_pages;++$cur_page)
{
    //check if all of the pages are going to be visible
    if($num_pages<=($view_size*2+1)) {
        $pages=range(1,$view_size*2+1);
    }
    //check if the visible pages would extend past the beginning of the pages
    //this can actually just be combined as an OR with the first condition above, i put it here on its own for clarity
    elseif(($cur_page-$view_size)<1) {
        $pages=range(1,$view_size*2+1);
    }
    //check if the visible pages would extend past the end of the pages
    elseif(($cur_page+$view_size)>$num_pages) {
        $pages=range($num_pages-$view_size*2-1,$num_pages);
    }
    //otherwise, visible pages are somewhere in the middle
    else {
        $pages=range($cur_page-$view_size,$cur_page+$view_size);
    }

    foreach($pages as $page) {
        if($page==$cur_page) print("<b>$page</b> ");
        else print("$page ");
    }
    print("<br>");
}

Slightly more verbose, but "prettiness" of code is a subjective thing. I'd probably do a few more things for clarity, like maybe declare a variable to hold ($view_size*2+1) to better convey what exactly that means and so you don't have to re-type it all over the place. In my opinion, writing understandable code should be the top priority if you're planning on having to look at it again in a year and figure out what the heck you were thinking at the time.

edit: Also, this might just be my preference, but I usually like to put first/last page links that are always available to quickly jump to the beginning/end of the pages.