There is no "best way". There never is. If your way works without being silly then its fine.
Personally, I'd store the options in an array:
$options = array('0-9','A','B','C','D'
... ,'Y','Z');
then loop through them to display the options, making them links:
foreach ($options as $option) {
echo "<a href=\"index.php?option=".$option."\">".$option."</a>";
}
This would give me the flexibility to add extra options later, like *, -, St, O', etc.
But like I said, theres lots of other ways of doing it.