To be honest, this is a VERY, VERY frequently asked question, and appears to come about because of the consequences of leaving inputs open on CMOS logic chips (4000 series) decades ago.
It was discussed (and tested) endlessly many years ago on the PICList, and the general consensus was that it really makes little difference with a PIC - as be80be pointed out, the default is input, and this is a 'safe' way to leave it.
The only pin that is of concern is obviously MCLR, if this is set to be the reset pin it MUST be pulled high, either via a resistor (4.7K seems to be suggested in the PICKit3 connection details) or connected directly to Vdd (which would obviously prevent ICSP - but this is essentially the same with the reset pin on any micro.