PICs for beginners using MPLAB Compatible Mini USB PIC Programmer
Did you forget to set the LED pins to output?

Each pin you want to drive a LED must be set as an output in your code. This involves setting the TRIS bits for that pin to '0'.

Did you connect the LED backwards?

LEDs will turn on only when the anode-cathode voltage is positive.

Do you have a clock source?

Make sure you're using a clock source that's hooked up, or the internal RC oscillator. Without a clock, your program won't run. 

Do you have the LED connected to the correct pin?
Is power applied to the circuit?
Do you have bypass capacitors for the PIC?
Is there a resistor pull-up for MCLR?

Without this pull-up, your chip will stay in reset and never execute your program.



Check your wiring again. Wiring and connection errors are very common in beginner's circuits.