According to his legend, he was the son of Geoffrey (the historical Gudfred), king of Denmark. In La Chevalerie Ogier de Danemarche, he had a son who was slain by Charlot, son of Charlemagne; seeking revenge, he sought out and slew Charlot, and was only barely prevented from killing Charlemagne himself. He resisted Charlemagne for seven years, but made peace with him in order to fight at Charlemagne's side against the Saracens, in which battle he slew the giant Brehus.
According to folklore the statue will come alive when Denmark is in great danger, and Holger Danske will save the country.
http://en.wikipedia.org/wiki/Ogier_the_Dane