I mentioned this before, I wouldn't bother using a PIC for a homebrew device anymore. Have a look a www.olimex.com at the philips LPC devices, these are ARM7TDMI chips which have an awful lot of stuff built it.

They use JTAG so you can debug from GDB, you have unlimited breakpoints if you're running from ram. You can get a board and jtag interface (you can get a board with a breakout to a DIP format for veroboard prototyping) for under £60. Obviously you also get to program in 'C' (using gcc) which is a darn sight more productive that programming in assembler.

We've used the LPC2106 and LPC2210 devices at work. We're also using the atmel ARM7SAM64S device which is dirt cheap (for it's spec), 3 euros in 100 offs, but these are harder to come by for "home" users as they're only just in full production.