Your callback should return a string containing the HTML code of the page to display, for example:
function my_module_funky($user){ drupal_set_title('Funky page'); return 'This is the $user value: <pre>'.var_export($user, true).'</pre>'; }
$user comes from the string 'page arguments' => array(1) your hook_menu , which passes the value of the %user wildcard as the first callback argument to your page.
If this is a complex page, you may need to create a theme function with a template file, so you can save the page code in a .tpl.php file, which will simplify its work (especially if your module creates many such user pages).
It would also allow those themes to customize the page output by providing their own version of the .tpl.php file if your module becomes popular, or other modules can pre-process the page to add / change variables.
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