I started with a PicKIT1, then a JDM (several in various designs) then an ICSP USB programmer, and a cheap breadboard. But then purchased an EasyPIC5 board and haven't looked back.

I still breadbaord some parts of a project, but tend to use the additional plug in boards where possible, makes life simple - For rapid re-programming whilst developing the code the EP5 (or 6) is ideal.