A student asked me about the word 'uncanny', so I checked it up in the OED, and also looked up canny. Uncanny is the earlier of the two words according to the OED - it says of canny, "a comparatively modern word". The word canny is very much associated with Scotland today - as the OED says, "it has developed an extensive series of meanings, two or three of which are in common use in English literature to denote qualities considered characteristically Scottish". The word comes from the old Scottish noun can meaning 'skill' or 'knowledge', so a canny person is knowing, prudent or shrewd. A canny wife in the 18th and 19th centuries was a midwife (cf French femme sage), and the canny moment was the moment of childbirth.
The modern meaning of uncanny is weird or spooky, and it is not particularly Scottish. This meaning, according to the OED, became common around 1850. The word was originally Scottish or northern English and had various meanings, including mischievous, careless, unreliable and unsafe.
A word related to canny is the Scottish ca'canny, which is an abbreviation of call canny and means 'caution' or 'the practice of going slow at work'. It's a verb as well as a noun; to ca'canny means to drive (a horse) gently and carefully.