I agree the pickit 2 is pretty helpful for a lot of things. But for more complicated things you need a better analiser. Like at least 50Mhz sampling and at least 10K of storage. With a ram chip its not hard to built your own 100Mhz one with like 16 channels. Then you can monitor parallel buses too.You can also do a nifty trick and add a high speed ADC and you can turn it in to a 100Mhz sample rate oscilloscope.Its also easy to add a signal gen in to it (They make whole signal gens in 1 single chip)
As for making the PC side software decode serial lines its not really hard to do if you ben in to writing PC programs for a reasonable time.
You know your a real electronics hobbyist when you start to make your own tools.