Alex Massie ponders the unusual sympathy among American conservatives for the cause, past and present, of Scottish independence; Larison weighs in here. Between them, I think they cover most of the reasons for this phenonemon. There's the “Cousins' War” dynamic, which both ethnically and ideologically connected the warring sides in Great Britain's 17th and early 18th century intra-island struggles to the combatants in the American Civil War, and thus created a natural affinity between the American Old Right and the Jacobite cause. There's the broader conservative preference for local self-government and traditional ways of life, which militates against the Protestant-liberal ideological project that unified Great Britain and brought the Highlanders to heel. More broadly still, there's the American tendency to romanticize our revolutionary period and look with disfavor on bossy Englishmen (a tendency that's particularly pronounced among conservatives), which breeds an affinity for anti-English revolts of all sorts.
It's the middle explanation, I think, that best tracks with my own philo-Caledonian sentiments. Despite some Southern roots in the family tree I have a Yankee's distaste for the Confederate cause, and I'm actually fairly partial to bossy Englishmen in many (though not all) historical contexts; my Jacobite sympathies, meanwhile, ultimately have more to do with regret over the eclipse of Catholicism in Great Britain than with Scottish liberties as such. To the extent that I find the Scottish National Party interesting, then, it's out of a combination of boyish Bonny Prince Charlie romanticism, instinctive small-is-beautifulism, and affection for, well, Scotland: I find the country intensely attractive in a variety of ways, and when you find a place attractive you naturally sympathize with people who say it ought to be free as well.
This is about as far as a serious weighting of the costs and benefits of disunion as you can get, and of course the SNP's historic commitment to socialism and the European Union is some distance from E.F. Schumacher and even further from His Most Catholic Majesty Charles Stuart, long may he reign. But then I don't pretend to be an authority on Scottish politics in any real sense; I just strike silly poses and leave the analysis to actual Scotsmen like Massie.
Photo by Flickr user Peter Macdonald used under a Creative Commons license.