I have never been so relieved to see a wind turbine in my life. After six hours of driving from Billund airport, a wrong turn that took us through what I am fairly certain was someone's farmyard, and a spirited argument about whether the sat nav was "having a moment" or simply broken, the tall white blades of Kegnaes finally appeared above the hedgerows. We had arrived. Probably.

The cottage at Kegnaes Strand sat low and sensible against the grey Danish sky, all wooden cladding and modest charm. My partner, still sulking slightly about the farmyard incident, immediately declared it "proper hygge" while I wrestled with the key box. The code worked on the fourth attempt, which I maintain was the lock's fault and not mine. Inside smelled of pine and faintly of the sea, which I later discovered was not imagination but the actual Baltic wafting through an open bathroom window someone had forgotten to latch.

We dumped our bags with the chaotic energy of people who had been in a car too long and marched straight out again, determined to walk off the journey before the light failed. This was, in hindsight, a mistake. The weather had been merely gloomy during our drive; now, standing on the narrow lane toward Kegnaes Fyr, the lighthouse at the peninsula's tip, it became actively theatrical. The wind arrived first, pressing my waterproof against me like an overfamiliar auntie. Then came the rain, not heavy but insistent, the sort that finds every gap in your supposedly breathable fabric.

"Just a shower," I announced, Britishly, and strode on.

The path to the lighthouse runs through coastal meadow and low scrub, sheep watching with the blank disinterest of creatures who have seen this particular human mistake a thousand times before. Within ten minutes my "shower" theory lay in ruins. The rain intensified, then sideways-ed, then somehow came from below in places where puddles found their way into walking boots I had sworn were waterproof. My partner, who had sensibly packed a hat, walked behind me making occasional sympathetic noises that I chose to interpret as smug.

We reached the lighthouse a bedraggled pair, me with hair plastered to my forehead in a way that aged me approximately fifteen years, according to the photograph I immediately demanded be deleted. The white tower stood magnificent against the churning grey sea, waves breaking on the shingle below with proper North Sea commitment. It was stunning. I was too wet to appreciate this properly, but I noted it for later, when I could feel my fingers again.

The return walk became less a hike and more a survival exercise. The wind had shifted, because of course it had, pushing directly against us with what felt like personal animosity. We passed a Danish couple walking two extremely cheerful golden retrievers, the dogs bounding through puddles while their owners wore expressions of mild contentment in proper outdoor clothing. I envied them their preparation and their dogs' uncomplicated enthusiasm for atmospheric conditions.

Back at the cottage, we discovered the heating worked excellently, the shower was hot, and someone had left a packet of biscuits that tasted of cardamom and redemption. I stood in dry clothes watching the weather continue its performance through the window, feeling that particular British mixture of suffering endured and comfort earned.

The next morning dawned suspiciously bright. We set out again, same direction, same path, same lighthouse. This time the sheep looked almost approving. The Baltic glittered properly blue, the wind merely brisk, and I could finally understand why people raved about this stretch of coast. We walked for hours, returning with actual dry socks and a sense of having properly arrived.

Some holidays begin smoothly. Others, like ours, require a thorough soaking before you can settle in properly. I would not have it otherwise, though I did buy better waterproofs before our next trip.