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In addition to building one, there are some inexpensive kits for programming pics -- i remember seeing some in the sub 100 range, but do not recall where. I built my own in-circuit programmers for AVRs, PICs, and FPGAs. They work well. One word of caution however, I know on the AVRs it is possible to use the ISP to put your micro into a state from which it cannot be accessed except through the parallel programming method.
Try looking at fored.co.uk. their pic programmer costs about fifty pounds, and programs an awful lot of pics. Software updates are available on line on a fairly regular basis. I havent, however, had any luck with their ICE, and woukd like to hear from anyone who has.