My favorite, because it's practically my biography; I tell it every October, on the anniversary of the Battle of Trafalgar.
One day Admiral Lord Nelson was abovedecks scanning the horizon, when the guy up in the crows' nest hollered down to him, "Hey Admiral Lord Nelson, there's a French ship out there."
Admiral Lord Nelson nodded, and turning to his assistant, "Go down belowdecks and get my red coat."
The assistant came back with the red coat, and inquired, "Hey Admiral Lord Nelson, how come every time we see an enemy ship, you ask for your red coat?"
Admiral Lord Nelson turned to him and said, "You see, if I get wounded in battle, the red covers the blood, and the crew doesn't see I'm wounded, and so don't lose heart."
A few minutes later, the guy up in the crows' nest hollered down, "Hey Admiral Lord Nelson, there's the whole French fleet out there."
Admiral Lord Nelson looked at his assistant and ordered, "Go down belowdecks and get my brown pants."