The HIGH & LOW commands take care of the TRIS registers for you to make your I/O-pins outputs, but they don't take care of certain built-in hardware peripheral features.

In this case, that would be the onboard comparator & A/D modules.

Try this;

Code:
 
CMCON = 7 ' Comparators off
ANSEL = 0   ' A/D off, set I/O to all digital

Start:
      HIGH 0
      HIGH 1
      HIGH 2
      PAUSE 500
      LOW 0
      LOW 1
      LOW 2
      PAUSE 500
      GOTO Start
Take a peek in the datasheet under the Comparator Module & Analog-to-Digital sections to see why this makes it work.