The Danish flag is the oldest one in the world still in use, and pretty much nothing is known about how it came to be. According to the myth the Danes were fighting the Estonians in Estonia and were about to lose, so the Danes called upon God and asked him for help. Then a flag fell from the sky and a heavenly voice said that the Danes would win under this flag.
Thanks to that story is has become a popular joke in Denmark that God was trying to give the flag to the Estonians (it fell into their country after all) and the Danes just snatched it.
But it would seem that something did indeed happen in that war, because the Latvians have a very similar flag from the same period, so flag-interested people suspect that there might be some kind of link.