I love cashmere! The very best stuff does come from Scotland, but you can find some good stuff made in China as well. The pilling comes from the quality and fluff of the cashmere, but it is somewhat unavoidable. The best way is to test the hand feel. If it feels thin, light and fluffy, it will pill horribly. If it feels thicker or denser, less so.
Brands that have worked for me include TSE, Lutz and Patmos, ParkVogel, Inhabit, Eileen Fisher, Christopher Fischer, and Vince. Neiman Marcus and Henri Bendel house brands are often good bets. Good vintage brands are Dalton, Pringle, and - shoot - blanking on the last one! Argh!
The best places I've found for cashmere are vintage stores and ebay. Prices are going to start going up now since it's fall, but will drop post-holiday as well.