I have never been so grateful for a pair of wellies in all my life, and that includes the time I got stuck in Glastonbury mud watching a man play a didgeridoo for forty-five minutes. The journey to Ejsingholm Strand had seemed straightforward enough on paper: fly to Billund, hire a car, point it west, and follow the smell of the sea. What I had not accounted for was my own spectacular ability to misread a Danish road sign and end up in what I can only describe as a cabbage field of existential proportions.

There I was, pootling along a farm track with increasing desperation, watching my phone signal dwindle to nothing, surrounded by what felt like the entire nation's brassica output. The sat nav had given up entirely and was suggesting I make a U-turn "when possible," which was rich given that the track was narrower than my modest rental car and flanked by drainage ditches of ominous depth. I eventually found a farmer who looked at me with the weary patience of someone who has rescued many lost Britons from his vegetables. He pointed me back toward the coast with a gesture that managed to be both kind and deeply pitying.

By the time I actually arrived at Ejsingholm Strand, I was nearly three hours late, slightly hysterical, and absolutely desperate for the loo. The cottage sat there so peacefully, so blamelessly white against the grey North Sea sky, that I felt almost angry at it for not having witnessed my ordeal. I dumped my bags with theatrical exhaustion and immediately pulled on my walking boots, determined to stride out and reclaim the afternoon.

The path down to the beach was magnificent, all rolling dunes and marram grass bending in the wind like something from a romantic novel. I marched along with the self-importance of a person who has survived mild adversity, breathing in that particular West Jutland combination of salt and pine and distant farmland. The beach itself was enormous, properly enormous, stretching away in both directions with hardly a soul on it. I walked for what felt like miles, watching the waves do their relentless Scandinavian thing, feeling terribly pleased with myself for having found such raw, unspoilt beauty.

Then the weather turned.

I have walked in British rain all my life. I thought I understood rain. But this was something else entirely, a horizontal, spiteful precipitation that seemed to come simultaneously from the sea, the sky, and somehow from underneath my supposedly waterproof jacket. One moment I was admiring a particularly handsome piece of driftwood; the next I was in a weather event that would have had the Met Office issuing stern warnings. I turned back, obviously, but the wind had other ideas and seemed determined to push me toward Norway.

I arrived back at the cottage looking like a creature that had been dragged backwards through a very wet hedge. My "waterproof" trousers were holding water rather than repelling it. My expensive walking boots had become personal paddling pools. I stood in the little hallway and actually laughed, partly from the absurdity of it all and partly because I was too tired to do anything else.

The next morning dawned suspiciously bright. I eyed it with the suspicion of a woman who had been betrayed once already. Still, the dunes were calling, and I am nothing if not stubborn. I set off with renewed determination, this time armed with actual Danish weather forecasts and a spare pair of socks in my rucksack. The light was extraordinary, that clear northern quality that makes everything look slightly more significant than it probably is. I walked north along the coast, past little wooden houses tucked into the landscape, past fishing boats pulled up on shingle, past a man walking his dog who nodded at me with the easy solidarity of fellow outdoor enthusiasts.

By afternoon the clouds had gathered again, but I was ready this time. I had learned my lesson about West Jutland weather, which seems to operate on the principle of keeping you permanently alert. I cut inland through a little woodland path, thinking myself clever for avoiding the exposed beach, only to find that the trees merely redirected the rain into more concentrated drips down my neck. There is a particular kind of humility that comes from being outsmarted by precipitation.

The remainder of my stay became a sort of tactical exercise in walking between weather systems. I studied cloud formations with the intensity of a sailor. I learned to appreciate the brief, golden intervals when the sun broke through and the whole coast transformed into something almost painfully beautiful. I walked in mist so thick I could hear the sea before I could see it. I walked in winds that made me lean into them like a character from a Lowry painting. I walked in that peculiar Scandinavian drizzle that is not quite rain but somehow wets you through more thoroughly than any downpour.

On my final morning I woke to absolute stillness and a hard frost. The dunes were silvered and crackling underfoot, the sea flat and dark and mysterious. I walked slowly, not wanting to break the spell, my breath clouding in front of me. It was unbearably lovely, this quiet world, and I found myself thinking about that cabbage field with something approaching affection. Without my ridiculous detour, without the rain and the wind and the general meteorological hostility, would this final walk have felt so earned?

Probably not, if I am honest with myself. There is something about being slightly uncomfortable, slightly challenged, that makes the good moments land more fully. I stood on that empty beach, frozen toes and all, and felt genuinely content in a way that all-inclusive holidays have never quite managed. The cottage waited behind me, warm and simple and exactly what I needed. The sea stretched ahead, indifferent and magnificent.

I drove back to Billund with my wellies in a plastic bag and sand still in my car's footwells, already plotting when I might return. The farmer's cabbages were safe from me now; I knew the proper road. But some small, perverse part of me almost wished I didn't, that I might get lost again and find something else I was not looking for. That is the thing about walking, I suppose, and about weather, and about holidays that do not go entirely to plan. They give you stories. And stories, in the end, are what we come home with, along with the damp socks and the sand and the inexplicable longing for horizontal Danish rain.