He volunteered to fight for the Finnish forces in the Winter War against the Soviets and was then in the proto-SAS:
"I was attached to the SAS from time to time but we are forbidden – former, present, or future – to discuss any specific operations. Let's just say I was in Special Forces and leave it at that. People can read in to that what they like."
There's the story of filming the scene in Lord of the Rings where Saruman is stabbed in the back by Wormtongue.
From Peter Jackson's DVD commentary:
When I was shooting the stabbing shot with Christopher, as a director would I was explaining to him what he should do"... "And he says, 'Peter, have you ever heard the sound a man makes when he’s stabbed in the back?' And I said, 'Um, no.' And he says 'Well, I have, and I know what to do.'"
If I recall correctly, Peter Jackson asked Christopher Lee to utter Saruman's loud death-scream after Saruman had been stabbed in the back.
Christopher Lee responded that a person in that position, (due to punctured lung I suppose) wouldn't be able to scream, so it would be more of a strangled noise. Apparently this drew on his experiences in special forces in WW2.
I remember, from the commentaries for The Lord Of The Rings, Peter Jackson saying that Cristopher Lee used his experience in the war to suggest how to make some death scenes more realistic. For sure he had a varied life.
"I was attached to the SAS from time to time but we are forbidden – former, present, or future – to discuss any specific operations. Let's just say I was in Special Forces and leave it at that. People can read in to that what they like."
That's quite impressive!
http://en.wikipedia.org/wiki/Christopher_Lee