This article is from the Nordic countries FAQ, by Antti Lahelma and Johan Olofsson, with numerous contributions by others.
Surprising though it may sound, the Vikings have never worn even the
tiniest little horns in their helmets. Viking helmets did sometimes
have neat figures and all kinds of decorations, but not horns. There
are some Danish bog-findings of ritual helmets that do have metal
horns in them, but these date from the Bronze age -- some 2000 years
before the Vikings.
The idea has its roots in the art of the Romantic period -- first half
of the 19th century -- when the artists started to introduce native
myths and legends in painting and sculpture instead of Greco-Roman
ones. But since archaeology as a science didn't really even exist yet,
they had a very poor idea of what sort of equipment the heroes of the
sagas had used. So they used their creative imagination. Later,
despite the fact that we now know we now know better, the myth has
been further popularized by Hollywood movies and comics such as Hagar
the Horrible, and nowadays a "Viking" is almost by definition "someone
who wears a pair of horns in his head".
 
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