I’ll try the OED when I get home tonight and see if it has more to say.

Piccadill. Obs. ‘the several divisions or pieces fastened together about the brim of the collar of a doublet’ (1611) app. Answering to a. Sp. ‘piccadillo’, diminutive of picado – pricked, pierced, slashed, minced [cf. picado – a puncture, picadillo – minced meat, hash]. As to the connection of Pickadilly Hall with this word, various conjectures were current already at the time of Blount, 1656, who mentions two: either ‘because it was then the outmost or skirt house of the suburbs that way’ or ‘ from this, that Higgins a tailor, who built it, got most of his estate by pickadilles, which in the last age (= generation) were much worn in England.’

Jackie mentioned ‘peccadillo’, apparently this also comes from Spanish – peccadillo, diminutive of pecado, sin. A small or venial fault or sin; a trifling offense.

So, picado > Piccadilly, pecado > peccadillo. No connection with pigs, that’s a whole ‘nother story.