If you're thinking "Luxembourg," then obviously you've never heard of the
Principality of Sealand.
During WWII, several gun platforms were built off the English coast to intercept the German air force on bombing raids. After the war, the platforms were abandoned, and almost all of them were destroyed. However, in 1967, former English major Paddy Roy Bates recognized that not only did one of the platforms, the former Roughs Tower, still stand, but it was located in international waters about 6 miles off the English coast.
On September 2, 1967 Roy took possession of the tower and formally declared it to be the principality of Sealand. The sovereignty of Sealand is disputed, and it has not been formally recognized by any governments. However it has been de-facto recognized by one English court, and has operated for many years as if it were a sovereign nation.
You can see pictures of Sealand in
this photo gallery.
Kinda makes me want to buy a used oil drilling platform :-)