If you want to play the Highland bagpipe, welcome. It is a wonderful instrument capable of performing music that can be beautiful, moving, haunting and stirring. However, too many beginners get discouraged because they get off to a bad start. I am hoping that by writing this, I will help people to make selections that will lead to a lifetime of enjoyment. I don't sell bagpipes, so I don't have a particular ax to grind.
First, do not run out and buy a full set of Highland bagpipes, no matter how tempted you are. This is a sure way to get discouraged. Start with a practice chanter only. This is a small instrument that enables you to play the notes without worrying about controlling the bag or the drones, and which is easy to play and quiet.
Now is the time to approach a sensitive issue. Good bagpipes are not only made in Scotland. There are excellent pipes made in England (such as David Naill), Canada (Dunbar and Walsh, for example) and  the United States (e.g. Gibson and C. E. Kron). However, they are generally not made in Pakistan. This is not snobishness or racism on my part. This is not to say that people from Pakistan are incapable of making a good bagpipe.What I am saying is that there is a lot of junk on the market, and it is impossible to tell what is decent and what is not without having someone who knows what they are doing look at the actual instrument. A bagpipe is a complex instrument, and any good one will be expensive. A practice chanter, while simpler, takes a real beating from being played, and must be well made. It also helps if the practice chanter plays in tune, which many Pakistani ones don't do. Too many people buy a poorly made Pakistani bagpipe and get discouraged, and you can't always tell by price.
So, it is very important to get a good quality, name brand practice chanter. You will use it all of your bagpiping career, even after you get the full pipes. Avoid cheap wooden ones, especially those made of "rosewood," "cocus" or "sheesham." They will probably split if you try to get any serious use out of them. There are good quality plastic practice chanters available, which are made of "polypenco" or "Delrin." Ironically, these will cost you more than a cheap wooden one, but they are much better. If you want a wooden one, most high quality wooden practice chanters are made from of African blackwood, but Gibson also makes a nice one out of cocobolo wood. The wood practice chanters generally sound better than the plastic, but they are considerably more expensive and need a lot of care. Swab the bore with a pipe cleaner after playing, use a bore brush on the reed cap, and occasionally oil them with bore oil. Another option is one with a blackwood chanter portion and a polypenco reed cap, which gives you the wood sound, but with the part that doesn't affect the sound (and which is most exposed to moisture) being made of the more durable plastic. In any event, the most important thing is to get a good quality one by a reputable manufacturer.
Practice chanters generally come in two lengths, regular and long. The long practice chanter, while more expensive, has a length and scale that are the same at that of the actual bagpipe chanter, so the transition to the full bagpipe is easier.
So, now that you have a practice chanter, you need to learn to play. The bagpipe looks easy - there only nine notes. However, this is deceptive, it is actually a very complex instrument to play. The reason for this is that a bagpipe plays continuously. So, unlike most instruments, you cannot stop the sound between notes or change volume. You need another way to emphasize and accent the individual notes. In the bagpipe, this is accomplished by gracenotes: very short notes that are played between melody notes. The gracenote system for the Highland bagpipe is highly developed and can be quite intricate. Therefore, if at all possible, get an instructor. Most pipe bands will give instructions for people who are interested in playing the bagpipe, so look in your area for a local pipe band. If you can't join a pipe band or otherwise find an instructor, get a good tutor book and CD. The classic one, and the one my first instructor used, is the College of Piping Tutor, but it has some problems - it takes a tune oriented approach to learning, rather than an exercise oriented one, and it introduces some very complex tunes quite early. My second instructor used mostly exercises from a book called "Rhythmic Fingerworks" to learn the basic movements and introduced tunes more gradually, which I found to be a much better way to learn. If possible, try to do some shopping and find a tutor that balances exercises and tunes. An accompanying CD or tape is very important if you don't have an instructor, so you can hear what the music should sound like.
The instrument takes time to learn. You should expect to be on the practice chanter for around one or two years before you get a full set of Great Highland bagpipes. Some things can't be rushed, but doing it right is worth it.
I'm not going to go into buying a full Highland bagpipe. If you stick with starting on a practice chanter and learn it thoroughly, you will be off to a good start. The full bagpipe is a very individual decision, and you should do some research and if possible listen to several before buying. Again, this is where an instructor and/or a pipe band will be helpful. Also after you've played the practice chanter for a year or so and have learned the instrument, you will probably be in a better position to know what you want and make an informed choice.
So, begin right, have patience, and you'll get a lifetime of pleasure from the instrument.