If there is a Queen on the throne (like there is right now), then a good Scot will be respectful and wear underpants.

under WHERE?
under THERE!

However, if there is a King, then the good Scottish lad can wear (or not wear) whatever he chooses. I don't know the reasoning for this. In either case, there is a whole lot of heavy wool fabric involved in a kilt, and they do not fly up of their own accord. Ever. Even whilst jumping around and kicking ass like on Braveheart.

What's the difference between a skirt and a kilt?
If you tell a Scot he's wearing a skirt, you'll get kilt.