Sometimes it is hard to catch the transmissions on a scope. Try downloading realterm and veiwing data on your PC. It works like hyperterminal but with more debugging features. It's a free dl ..just search on google.
It may be that your GPS receiver is outputting RS232 levels (-10 and +10) that are used by a PC serial port instead of TTL/CMOS levels(0 and +5V) that the PIC requires. You can order a simple module from
www.circuitblocks.com to convert the levels or just place a MAX232 chip in your circuit. They both do the same thing.