Interesting question. It's kind of hard to describe, but...
I think of myself as Canadian first and foremost because I have lived here all my life. I've had it pretty good, and where I live is a big part of it. I take Canadian values to heart as well. Freedom of choice is the thing I value most, and where I live has had a large impact on that. In addition, I also feel that as such a young country, a Canadian identity is still being formed, and I would like to help form it.
However I also consider myself a Scot. My dad's from Scotland, and I still have family there. Been over twice, and will be going again. I grew up with the history and culture, and it's something I value greatly. I feel a connection to the country, and I like to be part of it on some level.