I do get the "where's the bagpipes?" question quite frequently. I have begun using "under the kilt" as a stock answer. It tends to defuse the usual "next" of "what's under . . ."
I like the ambiguity of the answer, with the variable implication left up to the questioner.
Usually, it's more compliments and "where did you get your kilt, I like it?" Those usually end up with interesting discussions afterwards.

Of course, there are ALWAYS the "stupid" questions where someone is trying to be "cute" or "quick" and it just doesn't work. Invariably, they end up looking goof-ish.