The A/D interrupt fires when an A/D conversion is complete. This is handy for entering sleep mode, and having the PIC wake up when the A/D conversion is complete. With the oscillator shut down during sleep, you get much more stable A/D readings.

The comparator can also wake the PIC from sleep on change of a comparator output. This would work too, but I would check the Electrical Specifications section of the data sheet for current draw.

A/D, comparator, Vref, WDT, etc,, they all draw current during sleep. Which one is best depends on your power budget, and application. Wake up on comparator output change would probably let the PIC sleep for longer periods.

This PIC also has an ultra low-power wake-up option if you really need to squeeze power consumption down during sleep. Look for AN879 on the Microchip site.