Why do bagpipers march as they play?
They're trying to get away from the noise.
Really, though, if you want a *lot* of musical jokes, you can search online for the Canonical List of Banjo Jokes. There's also a rather large list of orchestra jokes available online (What do you call two oboes playing in unison? A minor second.)
I do love the pipes, though. I've got several LPs and CDs with various groups, the Edinburgh Military Tattoo, and so on. One's even in my car's CD player right now.
Here in Denver, there's a model train store called Caboose Hobbies. I haven't been in it in years, but they used to have a corner of the store that contained bagpipe material (practice chanters, lessons, and so on). I may have to check to see if they still have it.
A piper finished a long, hot parade and went to the pub to quench his terrible thirst. He hadn't been there long when he suddenly realized that, although he'd locked his car, he'd left his pipes in plain view on the seat. He rushed back to the car, but was too late. The car window was broken, and there were three more sets of pipes on the back seat.