At my wedding the Piper played Amazing Grace before the entrance, as a lament for those who could not be there.
For the Groomsmen entrance he played the Marines Hymn (I'm a Marine) and for the Bridesmaids and Bride he played Highland Cathedral.
I cant remember the name, but he had another song he played on our way out.

I'd suggest you ask the piper you choose to suggest songs. I'd also suggest you ask someone who has played weddings before, so as to not have to further worry about his nervousness on your big day.