According to the Beowulf poem he ruled Denmark when this hero comes along to defeat Grendel. He was supposed to have built a famous hall called Heorot, and according to Saxo Grammaticus in Gesta Danorum, he (by the name of Roar or Ro) founded the town Roskilde. His brother Helge who ruled before him had a famous son, Rolf Krake.
There are no historical facts to prove neither of these characters existence. See also Origins for Beowulf and Rolf Krake.