Hi,
What circuit do you have connected to the PIC's ADC input?
If it is just the test voltage (I guess you are using a 1.5V battery) then you will get strang results when you disconnect it. This is called a floating input. In the simplest terms the stary capacitances formed by the IC, PCB or protoboard etc. retain an indeterminate charge. This charge is altered by the leakage current of the IC. To get a true reading you need to provide a path to ground for this charge / current. If you have a potential divider at your input this will provide a discharge path for you. Otherwise add a resistor from the input to ground. The value depends on the PIC used and the application. I'd reccomend 10K as a resonable value. This also corresponds with the maximum input impedance specification for the ADC on 16F8xx PIC's. A 0.01uF across this capacitor will also help reduce noise etc.

HTH,
Robert G8RPI.