Again, it all depends what you want to do - if you have a need for non-volatile storage, an I2C EEPROM is one way to go.
Usually, on an I2C system, one device will be master, and all the rest will be slaves - you can have multi-master systems, but that gets much more complicated.
You can easily interconnect PIC's with a simple serial connection, even one pin would do between two PIC's, with a suitable protocol.
Could you be more explicit about what you are wanting to do?.