Since your just testing this to begin with, I would leave out the oscon, let it run at whatever it wants. also swap location of the first tris and porta statement, and instead of using HIgh and Low, actually assign a value. see modified code below

Code:
#CONFIG
_CONFIG _CONFIG1, _CLKOUTEN_OFF & _FOSC_INTOSC & _WDTE_OFF & _PWRTE_ON & _MCLRE_OFF & _BOREN_ON & _IESO_OFF & _FCMEN_OFF 
_CONFIG _CONFIG2, _PLLEN_OFF & _LVP_OFF & _STVREN_ON & _BORV_19 
#ENDCONFIG
TRISA = 0 ' all outputs
PORTA = 0 ' LED Off 
ANSELA = 0 ' all digital 

Here: 
PORTA.1 = 1 
PAUSE 500 
PORTA.1 = 0
PAUSE 500 
GOTO Here 
END
Also you replace the HERE loop with this code

Code:
Here:
Toggle PORTA.1
Pause 500
Goto Here:
you might want to make sure your led is actually hooked to PIN PORTA.1 and not PORTA.0, I have made this mistake in coding many times.