You can buy a set of bagpipes from a reputable dealer online, but do your homework first!
If this is a gift for someone else - there are a lot of people out there trying to sell knock-off bagpipes that are made in Pakistan. Nothing against Pakistan, but they can't make bagpipes. Disreputable dealers will prey upon people who don't know enough about a quality instrument, and sell these knock-offs at a "bargain" price, but you get what you pay for.
A good set of bagpipes can start at about $800, and go up from there - but see the next paragraph before you buy ANYTHING.
If this is for yourself - you don't start playing on the bagpipes themselves if you are going to learn. You start learning on a practice chanter - they start at about $60 if you buy a quality polypenco (a type of plastic) practice chanter. You learn all your tunes on the practice chanter, so you will always use it. Again, don't buy a Pakistani practice chanter!
Once you've got a practice chanter, and hopefully a teacher - your teacher can suggest when you should get your pipes (and from where). If you are looking for Scottish Highland Bagpipes, check out the forums and links at www.bobdunsire.com
They are not a sales site, but a forum from which you can gain much knowledge and get advice, so you can make an INFORMED purchase.