Oddly enough, this castle had recently rendered service as Queen Victoria's Balmoral during the filming of Mrs Brown featuring Judi Dench and Billy Connolly. What a travesty. The castle had originally been built around a pele-tower which was given to the Earl of Moray by his uncle - a certain Robert the Bruce - in return for his heroic part in the Battle of Bannockburn against Queen Victoria's ancestors. It was then bought by the Hay family in 1696 and they have lived there for the past three centuries. During their tenure, the building was substantially enlarged into its final Gothic-revival form between 1818 and 1822, under the inspiration of James Gillespie Graham, the architect responsible for designing much of Edinburgh's Georgian New Town.
At first glance, the only obvious concession the family had made to modern living was a modest front door tucked away beside the imposing porch of the original double door. We rang the doorbell, only to be greeted - after an extremely respectful delay - by a morning-suited butler. We were promptly led up to the "green four-poster room" (which was indeed an entirely accurate description of our room).
It turned out that the castle did have a feeling of being a family home: countless family portraits adorned the walls and furniture dated from the 17th century onwards. Alick Hay and his wife Aline have tried to maintain the essential character of the castle while at the same time affording all modern comforts. So, the central-heating system has been computerised - and the castle is always warm - but there are no signs of modern radiators.
We quickly got the feeling that we were welcome guests in a private home - rather than just another couple staying in a room. It was rather pleasant to find that there was no television or telephone in our room, and no lock on the door. Or at least, not a lock that had been used for 50 years. Apparently, a Hollywood director staying in our room a few years ago had locked the door from the inside. He ended up shouting directions to his film crew from 80ft up while a crane was hired to put a joiner in through the third-storey tower window, to take the door apart and release him.
Just after 8pm, the dinner gong sounded and we trooped through to the dining-room, feeling very much like a baron and his wife. We entered a panelled 14th-century chamber, the oldest used part of the castle, where the table was laid for 25 - including our hosts Alick and Aline.
No fancy menu, in French or any other language. The first course of home-cured Scottish beef was already on the table. I was seated between the host and a gentleman who had driven all the way from Northern Ireland for the weekend. Fine wines flowed as I enjoyed a fascinating discourse on the peace talks and the new Northern Ireland minister; then the second course arrived - chicken stuffed with haggis. Aline, who oversees all the cooking, says she aims to provide traditional home cooking with a Scottish slant, and everything is bought locally.
Alick explained to me over pudding - home-made chocolate cake - that he had inherited the estate when he was 19, at which time it had been in a terrible state. The rot had set in after his great-grandfather ran up large debts and it was not helped by the imposition of huge death duties following his father's death in the 1960s. Back then, much of the estate land had to be sold. But, as Alick said, it would always be the house that would generate the income.
In the early 1980s they came up with the idea of hiring out the castle. Although they try to keep the small drawing-room and childrens' bedrooms to themselves, they almost always eat with their guests and enjoy entertaining them at dinner. "People book the castle but this is our home," he said, "and obviously we don't move out."
Most of Duns' business is at weekends when it may be hired by a private party to shoot pheasant on the estate, or by a small corporate group running a management course, or as a venue for a special birthday party. It is also popular for wedding receptions. Some couples use the drawing-room in the hotel itself for the ceremony, while others get married in the local church in Duns. The castle can cope with parties of up to 70 using additional accommodation provided by holiday cottages on the estate in the winter, or b&b facilities in Duns in the summer.
The Saturday that we were there was a clear autumn day. We peeked out of our bedroom window to a vista of landscaped lawns; from the back, meanwhile, we enjoyed views over a loch surrounded by ancient woodland.
Is there anything to do round here in winter? In the afternoon we decided to go riding. The Border region is wonderful riding country, with little need to go on the roads. Had we so wished, we could also have chosen to fly-fish on the river Tweed with our own ghillie, or to have a round of golf at one of the many good courses within easy striking distance.
Less energetic alternatives include ambling round one of the many stately homes or abbeys in the area, or visiting the interesting fortress of Berwick, or the site of that forerunner of Anglo-Scots rivalry Flodden Field (an emphatic victory for the English and Henry V on this occasion).
Stiff and sore from riding, we drove back to Duns looking forward to a luxurious soak in the gigantic tub in our turret bathroom, and to an hour or two of relaxation in front of the drawing-room fire before the black-tie dinner.
Only one thing bothered me, namely that someone else - five years ago - had had the bright idea of booking Duns Castle for millennium eve.
Duns Castle (tel: 01361 883211) is in Berwickshire in the Scottish Borders, about 16 miles west of Berwick-upon-Tweed, about 45 miles (one hour's drive) from Edinburgh.
The castle sleeps a total of 23 people - four four-poster beds, three double, three twins and three singles with a total of 10 bathrooms (five en suite).
There is additional accommodation in estate holiday cottages in winter, and b&bs in Duns in summer.
Exclusive use of the castle for a group of 10 for the weekend inclusive of all meals and drinks is pounds 3,500 plus VAT. For one night only it would be pounds 1,000 plus VAT.
CHOOSING YOUR CASTLE
The choice is between self-catering castles, or serviced castles where you stay as guests of owners, or staffed castles where you can live like a laird.
There are different sizes of castle according to your party. Castles can cater for groups from two to 40 people - offering accommodation with the privacy and romance desired for, say, a honeymoon - and up to the size required for the celebration of an anniversary or birthday.
Location is important. A lot of people want to be within an hour's drive of an airport or train station. Some want to be on the east coast where there is more sunshine, others prefer to be on the west coast with its reputation for rugged beauty.
Some might want to spend time in the north and enjoy the isolation of the Highlands, while others want the convenience of being in the south of Scotland which is closer to England.
OTHER SCOTTISH CASTLES
Balfour Castle: Shapinsay Island, Orkney Islands. Great as an island retreat and for bird-watching. Sleeps 11. Cost: pounds 105 per person dinner, bed and breakfast.
Ballencrieff Castle: Aberlady, near Edinburgh. If you want a castle close to the capital. Sleeps eight. Cost: pounds 165 per room bed and breakfast.
Myres Castle: Auchter-muchty, Fife. You can be king of your own castle with golfing to boot. Sleeps 18. Group booking pounds 2,750 per day plus VAT (fully inclusive dinner, bed and breakfast).
Castle Lachlan: near Strachur, Strathclyde. The castle stands on the shores of Loch Fyne on the west coast of Scotland. Sleeps 13. Cost: pounds 2,200 for a seven-day self-catering stay.
To book any of the above, call Holiday Scotland (tel: 0131-332 2433) or Scots Castle Holidays (tel: 0131-446 9717).