The billboard was....
...the spirit of some Scottish psychic? It's never quite explained, is it.
Anyone have any theories?
"First you ask if you can be red, knowing that I'm always red."
The billboard is the voice of L.A. It's the city speaking to Harris. Did you notice early on as Harris K.T. drove by there was a random person standing in thrall to the billboard? It's not just wacky weathermen to whom Los Angeles speaks: it's to all kinds of people. Once you understand this you'll see the city communicating all through the movie - the sudden rushes of air, the weather - the title is very apt.
The bagpipes thing is either (a) just a dumb joke and/or (b) a cheeky dig at the American tendency to celebrate superficial Celtic ancestry.