Part of the Holy Grail tradition
It's a bit of an understatement to say that a lot of mythology surrounds the death of Christ. But aside from forming the basis of a whole entire global religion, it has also created a sort of aftermarket in the ephemera surrounding the event. These relics include things like the famous Shroud of Turin (in which Christ had supposedly been wrapped), the nails which held him to the Cross, splinters of the Cross, and the lance which was used to pierce his side.
According to the Gospel of John, the Romans were planning to break Christ's legs so that he would die faster on the cross (a practice called "crucifragium"). But when they showed up, Christ was already dead. Just to make sure, one of the soldiers stabbed Christ with his lance. Blood and water poured out, which was considered a miracle.
According to some traditions, being bathed in the blood and water of Christ caused this soldier (whose name is sometimes given as Longinus) to become immortal, doomed to wander the Earth until Christ returned.
What happened to this spear? Many pointy things have been put forth as the Spear of Destiny over the centuries. One possible contender for the relic is in Rome, in the hands of the Pope. Another is in the capital of Armenia. The third, known as the Hofburg spear or the Vienna Lance, has strange ties to Hitler and the Nazis.
The Vienna lance was part of a collection of relics (including a nail used for the Crucifixion) which belonged to the Hapsburg Dynasty. The official story is that the relics were hidden in Nuremberg when Germany annexed Austria, and that they were later found by American soldiers and returned to Austria by General Patton after WWII ended.
However, some people believe that Hitler started WWII in order to capture the Spear of Destiny. One legend of the Spear is that its owner will be able to conquer the world, but that losing the Spear will cause its owner to die. Hitler certainly conquered the world and later died, but putting the blame for it on an ancient relic is probably not a reasonable assumption.
One author, Howard Buechner, believes that Hitler succeeded, and that the spear currently on display in Vienna is actually a fake. According to this story, the Spear of Destiny is currently being secretly held in Europe by a Nazi secret society. Presumably because they plan to use its power to conquer the world again.