Have you got Mlcr, PGD or PGC being used by any other part of your circuit - they must be dedicated to the debugger.
Debugger also needs to use some User Ram, although its less likely you are using all ram in your program code.
Breadboards can give rise to all sorts of wierd problems, particularly is you use crystals - perhaps making up a simple circuit on a strip board might be better.
Also the length of the cable from the Pk2 to the pic chip should be as short as possible - under 150mm preferable in my book, have lost comms when using longer.