Here's a version of it, played by a band marching along the Royal Mile in Edinburgh. I've walked that mile a few times myself, between Edinburgh Castle at one end and Holyrood Palace at the other. If you listen closely, you can hear some people who know what they're about shouting "Oy!"
"Mad Piper" Millin survived the day- and the war- and apparently captured German snipers later said they hadn't shot the piper because they thought that he was legitimately crazy, calmly marching about a raging battle playing the pipes.