The first tutorial which pretty much everyone attempts to get started with learning to use microcontrollers, whether its a PIC or an Arduino, is the blinking LED tutorial. This is because it shows you three very important features of programming microcontrollers these are basic set up, how to control outputs and how to implement delays. I'll do two tutorials one for those of you using the Ozirock's Projects Development Board and one for those of you starting from scratch.
Most people will be starting from scratch with a bread board, that's how I started, its not hard to do. You can skip some of the set up like the power smoothing as its not critical for this (it will be when you start communicating with PCs) and the reset button you can just connect that pin to your 5V.
At some point you should solder up a board, again like I did, with these features and consider adding in circuit programming and a connection for serial communication or just buy an Ozirock's Projects Development Board. I suggest this because you will find the set up time is a pain and if you make mistake here you can be stuck trying to figure it out which can take the fun out of it. Also I learned the hard way that pulling the chips out of IC sockets to reprogram them is not only annoyingly time consuming, it is also very easy to break the legs on the chips. I use a tweezers to lever the chip out evenly to try avoid that when I have to do it. So I strongly advise you make your board capable of in circuit programming.
Anyway this should be a fairly quick tutorial and as I'm sure you're dying to get your new chip doing something we better get started!!
Option 1 - Ozirock's Projects Development Board
Option 2 - Start from Scratch
Extras which are on the Ozirocks Projects Dev Board which aren't critical for this tutorial but you might like to add them too.
Power Smoothing (Alternative: Don't use them)
Reset Button (Alternative: Tie reset button high)
Here you can download the assembly and hex code for the blinking LED tutorial for different PICs which will be added as the code becomes available.