The only time I've had an issue is with older PIC16's that use a dedicated LVP select pin (16F88x comes to mind). If you dont tie this pin low and leave LVP enabled in the configuration word, it will float in and out of programming mode. Disabling LVP on these pics stopped that.
The newer PICs don't have a dedicated LVP pin and use MCLR just like HVP so its a non issue on the newer parts.
I think most of the newer PIC18F parts have weak internal pull ups on every port that can be enabled as well. This option would probably offer the least current consumption.