Well, after posting that message I think I found out where my problem is...
*sighs*

        BCF     PORTA,1                 ;Turn LED on
DELAY0  NOP
        NOP
        NOP
        NOP
LOOP    NOP
D0A     NOP
        .
        .
        .
        DECFSZ  counts,1                ;Delay 25 cycles for "counts" times.
        GOTO    DELAY0                  ;Eats 2 cycles (unless skipped)
        NOP                                     ;Clean up cycle lost from DECFSZ

        MOVLW   250
        MOVWF   counts
        DECFSZ  loops,1         ;Delay  ("counts" * 25 cycles) for "loops" times
        GOTO    D0A                             ;Eats 2 cycles (unless skipped)
        NOP                                     ;Clean up cycle lost from DECFSZ

        BSF     PORTA,1                 ;Turn LED off

I dont know how to explain this... but when there is no more "loops" left to
do...  I am really getting 30 Cycles instead of 25. :/  The code will work
until the very last "loops"  ... if anyone has any idea how to fix that.. it
would be great.

Thanks.