There are a variety of "answers" to this question in my experience. Some answers from my experience:

I was wearing a great kilt for a Halloween community service event. A female friend comes over and asks, "Hey Art, What's under your kilt?" I say, in my best Scottish accent, "Well, lass, if you give me your hand..." She actually proceeds to do so, and I place it on the inside of my right knee and very slowly slide it up my thigh under the kilt. About, oh, 3 inches from the top, I managed to finally call her bluff.

A different female friend, about a year later. Once again, I've put on my great kilt. She asks me, "Art, are you regimental?" I say, "See for yourself." She goes to lift the kilt and everyone goes silent. We decide that she should actually do the lifting elsewhere. For the curious, I was in fact regimental at the time, and no, she wasn't bluffing.

Then, of course, there's the jokes involving this line. One of my favorites, the punchline of which I've used when asked this question:
A Scotsman is walking down the street when a woman in a convertible pulls up along side him. "Hey Scotty, what's worn under the kilt?"
The Scotsman turns and asks, "Lass, do you really want to know?"
"Sure I do!" she says.
He walks over right up next to the door to the car and says, "You sure you want to know, lass?"
She feels a little scared but isn't about to back down, and replies, "Yes, I do."
The Scotsman says, "Why, nothing's worn under the kilt, lass, everything's in perfect working order."

A final answer to the question posed in the node title: "Shoes and socks."

After a substantial amount of land was donated to the city of Spokane, Washington by the widow of Eugene Shadle, a descendant of the Scottish Henderson Clan, the city built a park and constructed Shadle Park High School on a small portion of the land. The school later organized the Shadle Park Pipe Band, a group of student bagpipers, Scottish drummers, and Highland dancers donning the Henderson tartan in pep cons, ceilidhs, and parades.

The following letter appeared in the local newspaper following the group's performance with the Shadle Park marching band in October of 2000. Somehow, it was made apparent to this man that most of those wearing kilts were not, in fact, going regimental.

For authenticity's sake, no undies

I am American born, in San Francisco, to parents from a Hebridean Tribe in northern Scotland. I am also offended by the dress and costumes worn by high school bands in award-winning presentations.

My complaint is the manner in which the Shadle Park High School band members wear their kilts. A true Scot would never venture out with any type of undergarment beneath his or her kilt, regardless of rain, snow or updrafts.

It would be appreciated if you would bring this breach of ethnic sensitivity [to] the attention of District 81's equity director.

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.

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