The bagpipe is a wind instrument (allegedly musical) composed of a bladder, which stores air, and releases it under applied pressure, between a pipe to input the player's air, under lung pressure, and one or more output pipes, which may or may not be tuned to allow the player to essay a tune.
Most people will be familiar with the Scottish bagpipe for which the bladder is placed under the arm which squeezes the bag to release the air. The Irish bagpipe uses bellows instead of a bag, as does the Northumbrian. Instruments similar to bagpipes are associated with other cultures eg. the Greeks.
Popularly compared to the sound of several cats, in a bag, being tortured. Probably ideal for waking the peerage after a long night.