Depends greatly on the comment being made.

For those express a compliment (nice kilt), I smile and say "thank you." This may or may not lead to a discussion about kilts and tartan.

For those who express puzzlement (why or what), I take the opportunity to explain the kilt and it's accessories, and in some cases the tartan, and that it is part of my heritage.

Ironically, these questions most come from women, and they also ask question like, "aren't you cold?" or "how do you sit down?" or "what do you wear underneath"? I usually just ask them about their own experience, which usually elicits a laugh or two once they realize what they've asked.

For those with a negative comment (almost always from men who I can only assume lack self-confidence in themselves), I ignore them. No sense wasting time or effort talking to a fool.