Playing isn't the hard part.... Breathing and tuning are an art form!
Being of Scottish descent, and participating in a local re-enactment since I was 10 (wow, now that I think about it that's been a while

) Anyway, I too had the itch. The best thing to do is buy a chanter and get good with that. That will teach you the fingering technique. Next you can get a "practice bag" which has 2 drones made of brass tube that can be lengthened for tuning. A practice bag will run about $75-$90. That will then teach you how to tune and breath properly WITHOUT passing out! Once you have mastered the practice bags you can step up to a set of wood/ivory/silver pipes for anywhere from $1200-$4000.
As a side note, if anyone needs a good piper for a wedding or the sort, I highly recommend this woman:
http://www.sormusic.com/contact.htm.
The photo on her main page is actually from my wedding. I'm Scottish, my wife is Irish... It was a necessity
Good luck!
-Nick
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