The Dun Cow is a common motif in English folklore. "Dun" is a dull shade of brownish grey.
The Dun Cow of Dunsmore Heath (an area west of Dunchurch near Rugby in Warwickshire, England) was a savage beast slain by Guy of Warwick. A large narwhal tusk (photo) is still shown at Warwick Castle as one of the ribs of the Dun Cow.
The fable is that this cow belonged to a giant, and was kept on Mitchell's Fold (middle fold), Shropshire. Its milk was inexhaustible; but one day an old woman who had filled her pail, wanted to fill her sieve as well. This so enraged the cow, that she broke loose from the fold and wandered to Dunsmore Heath, where she was slain by Guy of Warwick.
Isaac Taylor, in his Words and Places (p. 269), says the dun cow is a corruption of the Dena Gau (Danish region) in the neighbourhood of Warwick. Gau, in German, means region, country. If this explanation is correct, the great achievement of Guy of Warwick was a victory over the Danes, and taking from them their settlement near Warwick. (From the 1898 edition of Brewer's Dictionary of Phrase and Fable.)
A similar legend applies to Dun Cow Rib Farm in Halfpenny Lane, Whittingham, Lancashire, just outside the town of Longridge. Embedded in its wall is a large rib, supposedly from a giant dun cow that gave milk freely to all comers, but died of shock when an old witch asked it to fill a (sieve) instead of a pail. An alternative legend claims that the giant cow's milk saved the local inhabitants from the Plague, and it was buried at nearby Cow Hill, near Grimsargh. It was also claimed that the cow would quench its thirst at "Nick's Water-Pot", a well on the summit of Parlick. In reality, the rib is probably from a whale or Bronze Age aurochs.