Ditto the other comments on the PICkit 2. I just got mine ($35 + $10 adapter from Digikey) and I love it.
In particular, I wanted something to make it easier to program a bunch of chips without stopping to click a mouse and watch the computer screen for every chip. The PICkit 2 solves this perfectly: You can download your code into the PICkit 2, then just hook it up to each target PIC and press the button! They call this "Programmer-To-Go" mode, and they even show you how to hook it up to run on batteries.
Other cool things: It's open source (schematics, firmware and application source are all available from Microchip) and you can even set it up to work as a basic three channel logical analyzer or a USB - TTL serial adapter.
Great value for the $$.