Saint Denis lived in the 3rd century and, along with two companions, was converting a lot of people to Christianity. Somewhere around 250 AD, he and his two friends were beheaded on Mons Martis. Because of the martyrdom of these saints, the hill is now known as Montmartre, "the mountain of the martyr."
After being beheaded, it is said that Saint Denis picked up his head and carried it approximately 6 miles, preaching as he walked. He stopped at the location where the Saint-Denis Cathedral now stands.
There are actually quite a few saints who are said to have been able to walk and carry their own heads after being beheaded. The term for this is "cephalophore", or head-carrier. Often, in art, the saint is shown holding his or her head and the halo, the sign of saints, is shown where their head used to be. (Photo credit: Wikipedia. Photo of Notre Dame Cathedral in Paris.)
I thoroughly enjoyed this post about cephalophores on Elizabeth Lunday's blog: My New Favorite Word: Cephalophore.