One of my favorites is the version of I’m So Lonesome I Could Cry by Me First & The Gimme Gimmes. A Hank Williams song performed by a punk band accompanied by a bagpipe. It doesn’t get much better than that 
Not exactly a “rock song”, but how about Michael W. Smith’s This Was Her Time (written originally for Cassie Bernall, one of the Columbine High School victims. According to court transcripts, one of the shooters asked Cassie, “Do you believe in God?” Cassie answered, “Yes.” They killed her.)
The bagpipe begins about halfway through the song & comes in strong at the end. http://youtube.com/watch?v=blQrlj1cJSU
Great song. Love, Phil
If anyone here likes Japrock, there’s a fantastic track by Ghost called ‘Caledonia’, which has got loads of bagpipes on it.
In addition to the nice list posted by Invisible Wombat (I especially second the Enter The Haggis recommendation), some of the songs from Seven Nations and The Elders are good choices, although earlier SN stuff might be a bit more traditional than rock.
Tattoo by Mike Oldfield, on Tubular Bells II.
EgyptLand (or We’re all Working for the Pharaoh) by Richard Thompson on Amnesia.
And here’s a list I found while checking that bagpipes really were used on those songs.
I was going to say, the Subway to Sally remix of The Crüxshadows’ “Winterborn” has lots of tasty pipes.
I’d also recommend the first track on The Dropkick Murphys’ first album, Do or Die.
This isn’t germane to the discussion, but I can’t resist pointing out that Enter the Haggis is not only a really talented group, but they’re really nice people. I introduced them at a concert last year and had dinner with them before the show. My only complaint was that they didn’t wear kilts when they performed. 
NOTE TO THOSE NOT FAMILIAR WITH THE BAND: Do NOT base your opinion of Enter the Haggis on one song! They cover and blend over a dozen genres and they’re impossible to classify, so experience a bunch of their work before deciding whether you like them.
Sorry to offend.
When i saw them, they were performing at the Scottish pavilion at the local multicultural fest, and they were kilted, with t-shirts and boots.
How about Copperhead Road? There are bagpipes in that wicked-ass tune, aren’t there?
Wow. I was going to chime in with both the Big Country and Church song, only to learn that not only are neither bagpipes, but both are e-bowed guitars. I had absolutely no idea!
edit: Actually, now that I listen to it again, Big Country is pretty obviously not bagpipe, but that little bit in “Under the Milky Way” still sounds pretty damn close to bagpipes to me.
Sorry! It really isn’t.
At least one of the songs on Tales of the Great Rum Runners by Robert Hunter has him playing pipes on it (not certain it’s bagpipes, though) - I think it’s Children’s Lament, but I could be wrong - it’s been a while since I’ve played the album…
Oh, I’m not expressing doubt. I’m just amazed.
That was from their video for Fields of Fire.
Still no actual bagpipe in the song, though.
(And by the way, it vaguely bugs me when people call Big Country a one-hit wonder in the US market. “Fields of Fire” also made the charts here.)
“March Or Die” by Motorhead.
Does Paul Simon’s The Boxer have bagpipes?
It isn’t exactly rock music, but Rare Air has some neat stuff.
RR
I’ve listened closely, and I don’t think so. There’s no bagpipe player listed in the credits.
I think Pink Floyd’s “Chapter 24” from Piper at the Gates of Dawn has bagpipes, but when I advanced-google “bagpipes” + “pink floyd” + “chapter 24” I get a zillion hits not one of which seems to contain the word “bagpipes” (go figure).
So no confirmation. Could by synthy stuff that just sounds like bagpipes.