Which processor do you favor and what is your budget?
I just purchased Proton Dev System vs3506. I prefer PICs and this handles both 16Fs and 18Fs (and 10Fs, but who cares). It is a tad pricey ($165), and uses a USB dongle, which is a bummer, but livable.This is a BASIC, and there are several language types to choose from, like C and assembler, for starters.
Later.
kenjj
I use the free version of Hi-Tech C, the only difference is the standard and pro version optimise the code more. If you don't need to fit a large, complicated program into the smallest PIC possible, the free version will do the job.
You can also check out LITE versions from microchip. They do not have a compiler for 16F or lesser. If you will be working with 18F, C18 is a very good option.
Otherwise, I would suggest free version of Hi-Tech C, as Jules mentioned. I have used MikroC (the free version)for sometime, It works fine. You can try out the free versions before you buy one.