This coast's so wild they build lighthouses on wheels

One by one, the bodies of Maarup Kirke are being disinterred, the grave-diggers keeping ahead of the sea as it gnaws away at the cliff on which this tiny, whitewashed medieval church perches and where its family tombs huddle behind tattered picket fences, sheltered from the wind by holly and birch trees.

Erosion on Denmark's lonely, wind-pummelled West Jutland coast has prompted the removal of the church roof but the fortified rump and shrinking cemetery remain – the bodies left in situ until the cliff is poised to crumble. It's an oddly moving place, one of the most extraordinary sights along northern Europe's newest long-distance walking path.

The North Sea Trail, now around 3,000 miles long, is a glorious, romantic and outlandish vision, allowing you to walk from the standing stones of Shetland, through the coastal fogs of the North York Moors, and on, via the Netherlands, Germany, Denmark and Sweden, towards Norway's midnight sun. The trail's supporters dream that, one day, it will stretch beyond the Arctic Circle, and dwindle to a vanishing point at Norway's border with Russia, near Murmansk.

The hope is for the North Sea Trail to become the spine of a network of coastal trails, linking 7,000 miles of paths along the coast of the North Sea. (Several UK coastal paths, such as the rugged Cleveland Way, are already part of the North Sea Trail network.) Through Coast Alive, a project encouraging local people to discover the cultural roots and heritage they shared with those across the sea, the trail's supporters aim to extend the route and fill in some of the gaps as time and money arises.

A mile south of Maarup Kirke is another of the trail's breathtaking sights, the lighthouse of Rubjerg Knude. (You tick off lighthouses like railway engines at a mainline station.) Hidden within dunes so fine, angular, and elegant that you might expect Peter O'Toole to rear over the skyline on a camel, the lighthouse is encircled entirely by sand. Abandoned in 1968, its rusted weathervane for ever points south-west. Elsewhere, bowing to the ever-changing coast, locals have accepted the inevitable and built their lighthouses on wheels.

Further north, beyond Maarup Kirke, I slithered down a precipitous wooded ladder, 200 feet to the beach at Lonstrup. The sea was bubbling, brewing up a storm, but the tide was going out, and the opportunity for a stirring beach walk, barefoot, for 16 miles to Hirtshals, the next town on the route, was irresistible.

The foaming sea became implausibly rough and huge waves were transformed into spray as they lifted themselves on to sand bars. A small line of hikers was strung out ahead of me; with each gust we all lurched simultaneously, as if synchronised, bending like corn blown in the wind. Cormorants and great black-backed gulls stood, sentry-like, by the tide mark, they too seemingly awed by the power of the ocean.

It was remote and raw; all that was missing was a marooned ocean liner. (Sperm whales do, however, beach themselves here, possibly disoriented by the shallow waters of the North Sea.) Occasionally, I passed a wooden stump stamped with the North Sea Trail logo, a wriggly, italicised "N", that appropriately seems to be seeking refuge from the elements. I finished this sensational stretch of the trail in Hirtshals – having scrambled up some rocks past a lighthouse and, unexpectedly, found myself in the grounds of a dark, oblong hotel overrun with German holidaymakers peering doubtfully into the gloom.

Visit any of Denmark's well-ordered towns and cities, with their slick architecture, palpable sense of affluence and enviable quality of life, and you'd be forgiven for thinking the country a tame place. But its coast is wild. Here, more than in any museum or history book, you can see echoes of how the Angles, the Jutes and the Vikings set out to colonise and explore. This may in part explain why Denmark has embraced the North Sea Trail so enthusiastically. Most of Jutland is waymarked, and Zealand is following suit.

A further 18 miles lead to the northern tip of Denmark at Skagen, and, close by, an extraordinary shingle spit that tapers to a point where you can stand with one foot in the Skagerrak (an arm of the North Sea), and the other in the Kattegat (part of the Baltic). Artists have been drawn here for more than a century, and the spit somehow holds its own, battered by the two seas.

The Danes have put a lot of thought into the North Sea Trail; paths rarely stick doggedly to the coast, but sweep inland to ensure you don't miss something of interest. I appreciated this just south of Skagen, first at Den Tilsandede Kirke, a church abandoned to the sweeping sands, and then at Rubjerg Mile, an extraordinary inland sand dune. Roughly square in shape, each side measuring one kilometre, it's as though a small slice of Arabia has been deposited in Scandinavia. You plod over the rolling, high dunes, basking in disbelief at the spectacle. The dune has inexorably headed east across Jutland at a rate of 15m a year – the Danish government buying up farmland ahead of its drift – though recent changes in wind patterns now look to be pushing it north.

I revisited the dune with Villy Hansen, a local wildlife ranger, at dusk when, if you're lucky, you may hear the unsettling "churring" call of the nightjar. "When the sun is half behind the dune and is throwing colours all over the landscape, it becomes a very special place," he said. "You have two oceans and all this sand, it creates many strange colours."

South of Rubjerg Mile, I explored the hinterland around Tornby and Hirtshals by car. I was surprised to discover that Denmark allows you to drive on the beach – the argument runs that this prevents important dune landscapes from being paved over by car parks. While harbouring a sneaking suspicion that the Danes are usually right when it comes to green issues, it was an idea that I found profoundly objectionable. Early one evening, though, as yet another storm blew through, I mellowed as I sat sheltered in the car, on the beach at Tannisby, eating local fish and chips, followed by possibly Denmark's largest ice cream from the nearby Blue Kiosk.

Further south in Jutland, I joined Anna Studsholt, one of the founders of the North Sea Trail, along a short stretch of the route. We wandered past windmills built from driftwood and through lonely shipping communities around Slette beach near Thorup Strand, where boats are still hauled up by rope and traditional shipbuilders teach their trade to schoolboy apprentices. Strangely, the chalk cliffs were often 100m inland, reflecting the inexorable lifting of Denmark's coast.

"There's a collective culture along the North Sea," said Anna, as another gale, this one merely force eight, lashed our faces. "We have in many ways the same method of doing things. You have this harsh environment facing the sea, and people trying to make a living from it. People along the coast have always had a harsher life – you can see it here, you can see it in Scotland." We warmed ourselves with a shot of bjesk, an aquavit spiced with rose hips, but still the storm forced us to seek refuge in the Svinklov Badehotel near the town of Fjerritslev, a wonderful fin-de-siècle affair that wouldn't look out of place in the resort of Normandy. (In warmer weather, the delightful thatched ice cream kiosk opens for business.)

The trail draws on the shared history and culture of the communities that line the North Sea, taking in national parks, wildlife reserves, deserted beaches, picturesque harbours, rugged fishing ports, and villages battered by prevailing Atlantic westerlies. The building traditions of post-Reformation centuries can be found all along the trail, while there is also a continuity in the architecture, from the half-timbered houses of Denmark and Germany to Norwegian stave buildings and the traditional blackhouses of northern Scotland.

From Jutland, I headed to northern Zealand, and the small port of Gilleleje. Enter the town from the west and you'll pass a ponderously large monument to the pensive thoughts of Soren Kierkegaard, who would wander here in anguished search of a meaning to life. Gilleleje should have cheered him up. It's a delight, a pretty port, full of fishing boats and – generally a sign of a healthy harbour – a mast, prow and anchor planted ornamentally on the foreshore.

The port played a crucial role in the evacuation of Jews across the Oresund Straight to neutral Sweden during the Second World War, and serene views of the channel accompany you further east, past a delightful lighthouse (home to a fine café, whose tables on the grassy bank offer splendid views) and inky-black ponds fringed with bulrushes. The air was rich with the smell of pine needles and, at dusk, marsh harriers darted low across the meadows.

Paths – not yet officially the North Sea Trail – follow much of the coast down to Copenhagen. The tracks beyond Gilleleje often squeeze between back gardens and provide glimpses of Danish domesticity. Every window reveals a house apparently participating in a style competition, with candles, exquisite ornaments and tasteful furnishings. It was all quite intimidating, and I wondered what a Danish hiker might make of trekking through the back alleys of Dundee or Middlesbrough.

I'd planned to continue to Mons Klint, 100 miles south of Copenhagen, which is characterised by dramatic, sloping cliffs, and where you can root around for dinosaur footprints. But it was just too far. Geographically, it is easy to think of Denmark as a small country. Look at it on a map, and it appears to tremble in the jaws of its vast northern neighbours, Norway and Sweden. But walk even a small chunk of it, and you'll realise it's the opposite. Denmark is huge.

Compact Facts

How to get there

Mark Rowe travelled to Denmark with DFDS Seaways (0871 882 0886; dfdsseaways.co.uk), which runs an overnight service from Harwich to Esbjerg from £249 each way for a family of four and car. He stayed at cottages in Gilleleje and Tornby courtesy of Novasol (novasol.com).

Further Information

North Sea Trail (northseatrail.org); Visit Denmark (visitdenmark.com).