The traditional answer is "Nothing. It's all in perfect working order!" Otherwise, I suppose it depends on the individual scotsman.
This depends. See the link below.
Traditionally.... nothing; but modern times do allow for briefs with your stockings.
In all seriousness, traditionally the kilt was worn without undergarments. In modern times its really a matter of personal preference, and there are alot of circumstances in which it is necessary, ie...
Nothing at all what so ever