I like the one quote from the Snopes site:
His father William West, a retired major in the Gordon Highlanders, said: "We are bound by the Official Secrets Act so we can't say what's under the kilt.
I'm going to have to use that the next time I get asked "the question."

"What do you have under the kilt?"

"I'm sorry, ma'am. I am bound by the Official Secrets Act and it would be unlawful for me to reveal that information. It's a state secret."

Heh...