One time, just for fun, I was going through my Encarta Encyclopedia listening to all the sound clips. The article that went with the sound clips for bagpipes (one Scottish and the other for the Bulgarian bagpipes) said that the earliest bagpipes date back to the first century B.C., and were traditionally shepherds' instruments.

Considering the important role shepherds play in the Christmas story, I'm not surprised that there is at least one carol meant to be played on "their" instrument...