Pickit2 comes with a socket, it isnt a zero insertion force(zif) socket but you can put chips in and out easily with it. the sockets loosen up with time too so the days of bending pins are pretty short lived.
Either way you go works, however Pickit2 is $50 and comes with working programs and tutorials to get you started. The mcu mall stuff may have similar things I dont know. Imho pickit2 will get you up and running the fastest of the two options in this thread.
Picaxe and Arudino are also options that you could look into, they are the easiest microcontrollers on the market to work with. They have some serious limitations, however for nightrider stuff and led tricks they are more then sufficient. I think both of them use some form of basic language that is probably the easiest programming language there is.
The mcumall and pickit will use either C language or Assembly language and they can be a bit difficult if you are brand new to programming. Assembly language is the native language for almost any microprocessor on the market, so if you really want to learn your stuff start with assembly language.
Here are some decent assembly and C tutorials if you decide to go that route:
Gooligumlet us know what you decide on.