Gunnar - learning to play the bagpipes without an instructor is generally not advised. That said, there are some CD's and other learning aids out there. I would strongly advise you to not buy anything other than a chanter at first. That way you are only out about $100. Pipes will cost you around $1,000 and up.

Read Andrew Lenz's Bagpipe Journey before you do anything else. http://www.bagpipejourney.com/

Brian