On some occasions, I power the entire target circuit from the PICkit3, but these are generally circuits that have nothing more than one or two other CMOS chips, so the total load is very small. As others have mentioned, your final circuit is going to need a power supply anyway, so just make use of that if the PICkit doesn't have enough juice.
I moved up from the PICkit 1 to the PICkit 3 after getting to the point where the PICkit 1 wasn't able to program any of the new chips that I wanted to use. IMO, it was well worth the price. It was also an incentive for me to start designing my circuits to make use of in circuit programming, so that I wasn't constantly plugging and unplugging the chip whenever there was a program change. I did make a programmer board with a ZIP socket on it, but I'm using it less frequently these days.