One of the first sources where bagpipes are mentioned is the Old Testament and I heard of some carvings that prove the use of bagpipes a thousand years before Christ somewhere in the east.
The first bagpipes in Europe are mentioned in Greece by Aristophanes
(445 - 385 before Christ) Not much is known about these pipes but they
had probably no drowes, just a bag and a chanter.
Since the 9th century bagpipes have been used across Europe. Most of them had one to three, some also four or more drones. In some countries like Brittany, Bulgaria, Sweden and others bagpipes are still played, also in Germany by there are quite a number of pipers playing on original German bagpipes. I think there are still pipers in nearly every European country though. In the Middle East bagpipes are first mentioned in the 11th century.
Purser's book (mentioned in [4.21]) says (P75-76)
The earliest reference to bagpipes in English is in Chaucer's Prologue
(1386). In Scots it is Dunbar's Testament of Mr Andrew Kenney (1508).
In Gaelic, it is the Irish manuscript of the second battle of Moytura
(15th C). There are non-literary references earlier from accounts and
from carvings (c. 15th cen) in Rosslyn chapel.