For what it's worth, 11 years after the thread started and with most of the posters long departed, according to Rivet and Smith, "The Place Names of Roman Britain"*, the name derives from the tribal name Caledonii, Calydonii, Kaledonioi, or half-a-dozen variants, possibly meaning "hard men, tough men", rooted in a word which became "calath" in Middle Irish and "calad" in Welsh, meaning "hard; severe; austere; firm; tough; hardy".

The same source also says that the Picts are first mentioned a little before 300AD.

As for bagpipes, you'll have to add at least the Bulgars, Italians, Germans, Poles and Serbs to the common stock (Spaniards are partly Celts of course), they all have bagpipes, indeed the Bulgarian word for them is practically the same as the Spanish. But there may well be evidence that the Hebrews are a lost clan of Scotsmen, see the Book of McAbees.