Need help understanding Ultra Low Power Wakeup on PIC16F887
Are you sure you have waited for appropriately long times for the capacitor to discharge?  Using Equation 2 in the application note:



and your capacitor values you have supplied in your comments (x pF, 10uF, 100uF), the discharge times would be:

(5V - 0.6V)*10pF / 140nA = 314 useconds    

(5V - 0.6V)*10uF / 140nA = 314 seconds ~= 5 minutes

(5V - 0.6V)*100uF / 140nA = 3,143 seconds ~= 52.3 minutes

Perhaps you are not waiting long enough enough on your uF capacitors, and the pF one is too small and causing the micro to become stuck in you interrupt routine (or something, without supplying YOUR code it is impossible to guess any sort of coding error).

A good value to try may be in the 100 nF range, which would wake up every ~3 seconds, which would be easy to see with the naked eye whether it is working.

NOTE:  I took the values I used in Equation 2 from the example values in the Application note.