I can document ancestors who were Irish, German, Alsatian, English, Scottish, and Sorbian.
We have multiple traditions of Native American ancestry that I believe but can't prove.
I have some reason to think I'm part Welsh, but can't prove that either.
I was looking at some guy's information on Rootsweb yesterday, and there are some problems with his information, but it was interesting. He traces some of my Virginia ancestors back to all kinds of European royalty and nobility. It's one of those pedigrees that are suspiciously complete; the info on the royalty and nobility is accurate, but there are several questionable assumptions made in between them and my documented ancestors.
But anyway, if his data were correct, I'd be a direct descendant of an 8th-century Danish king named Sigurd Ragnarsson, also known as Sigurd Snake-in-the-Eye. I like that. I like it so much that I've decided to be mindful of the fact that even if the pedigree is bogus, it's statistically likely that I'm descended from Sigurd Snake-in-the-Eye anyway.