It depends on the output of your sensors, if they are discreet sensors like a thermistor and have a voltage o/p then you'd connect to the a/d pin as mentioned, however if your using a sensor with a digital interface like a bmp085 pressure sensor then you'd need to configure and use the pics i2c interface as this is what this sensor uses.
There are sensors such as the dht11 which use a non standard digital interface, you have to write your own code for these, and that can be tricky.