Here is a compilation of common PIC problems:
Commandments For Using PICsA couple points come to mind:
1. Do you have a 0.1 uF bypass cap across the power pins? Problems with this show up in all kinds of ways.
2. I would recommend against disabling /MCLR, even if it means using the ICSP pins for I/O.
3. The PICkit 2 will properly pull up /MCLR when the PICkit is connected, but you'll need the 10k resistor to allow the board to run reliably with the PICkit disconnected.
4. If you want the PICkit to power the micro, tick the box. (That really seems pretty straightforward.)
5. If the PICkit errors because of a power short, you must disconnect it from USB, shut down the GUI and start over. In the event of communication errors or other problems programming, I would also do this. The PICkit will protect itself from supplying excess power, but needs to be disconnected from USB to reset.
6. If the GUI freezes and can't be closed, it's usually because of a power short. See #5.
Hope this helps. The PICkit 2 has been solid for me.