Use column values in ORDER BY and LIMIT clauses
Query
While your solution is clever, it's poison for performance because the value to order by has to be computed separately for every row. More importantly, your query cannot use a plain index.
I suggest to move the trick to the LIMIT clause and use UNION ALL. This way the query gets cheaper overall and can use an index (which nukes competitors that can't).
WITH l AS (
   SELECT CASE WHEN ordr = 'a' THEN lim ELSE 0 END AS lim_a
        , CASE WHEN ordr = 'd' THEN lim ELSE 0 END AS lim_d
   FROM   test
   LIMIT  1
   )
(SELECT * FROM test ORDER BY first_name      LIMIT (SELECT lim_a FROM l))
UNION ALL
(SELECT * FROM test ORDER BY first_name DESC LIMIT (SELECT lim_d FROM l));

One of both SELECT gets LIMIT 0 and is never executed. You'll see &quot;never executed&quot; in the EXPLAIN ANALYZE output.
About twice as fast without index in a quick test on Postgres 9.4 (35 rows out of 50k), but several orders of magnitude faster with index. The difference grows with the size of the table, obviously.
Table layout
Don't use reserved key words as identifier (as you found yourself already): lim and ordr instead of limit and order.
Don't bloat your table with redundant values. If you cannot avoid storing lim and ordr for every row, at least make it small. Basic layout:
CREATE TABLE test (
  id         int
, lim        int
, ordr       &quot;char&quot; CHECK (ordr IN ('a', 'd'))
, first_name text
, email      text
);

&quot;char&quot; is perfect as a simplistic enumeration type and occupies just 1 byte.
Create an index:
CREATE INDEX test_first_name_idx ON test(first_name);

Details:

Configuring PostgreSQL for read performance
Measure the size of a PostgreSQL table row

SQL Fiddle.