If you are interested in modern Scotland and/or issues of identity but prefer literature to history, you might want to listen to to New Scottish Writing from the Guardian's Book Podcast. This episode was recorded in August 2011 at the Edinburgh International Book Festival. Topics include the best new Scottish writers and the role of fiction in exploring national identity.
The correspondents produced several podcasts while at the Festival including Jackie Kay and Sebastian Barry: Identity and Struggle and Gothic Edinburgh. There is also a short video of an interview with Alasdair Grey here. I know he is one of the most renown Scottish authors, but I must confess that I tried to read Lanark and hated it so bad that I couldn't finish it. I soon sold my copy to a fellow student.
I hope you enjoy these podcasts about Scottish fiction more than I enjoyed Lanark.