It is also quite common for there to be a connection on the board to the PGC, PGD and PRGPWR pins of the PIC which are the pins used for programming, by doing this it means that it is possible to program the chip whilst it is in place in your circuit which means you dont have to swap chips from development board to the circuit. In order to do this you would be looking at getting an ICD3 or some similar piece of kit, I can highly recommend the ICD3 though.
Another alternative is to put a connection to the USART, on your PIC, on the board, you can then use a bootloader to put the software into your PIC, however, to do this you would still need a programmer to put the bootloader onto it in the first place, so only really best for updates.
Hope this helps.
/Pete