If you can afford it, Sarah has definitely proposed the ideal solution.
If it's a choice of 'A' *or* 'D', then here are some thoughts...
Assuming that the smallpipe player will want to play with other musicians, including a fiddle player, the choice of 'A' or 'D' smallpipes should be influenced by the most common key in which standard pipe tunes are played *on the fiddle*. Since many pipe tunes migrate from pipe notation into fiddle tunebooks, they transfer across most commonly in 'A' and its related minor.
(Domnull... jump in here with the view from the perspective of a fiddle player!)
In my personal experience, not all other players will be comfortable having to transpose from keys in which they *normally* play the tunes... at least not just for the sake of having the smallpipes join in. Example quote: "Oh... Gee... WE usually play that in 'A'!"
Having said that, I must speak from the other side of my mouth: I have a set of D smallpipes (Gibson Firesides) that I just love. Smallpipes in D fit really well with the fiddle. They're about the same volume (at least the Firesides are) and because of the higher pitch the sound doesn't get lost among the other instruments. Some makes of smallpipes in 'A', though they have superb tone, have a relatively low volume that sometimes gets buried in the excitement of a session. Indeed for some makes, amplification is almost essential for session playing.
I would not recommend smallpipes in 'Bb' if you intend to play with fiddle, guitar, whistle, etc.