And, of course, there was his affair with Emma Hamilton. Their affair was passionate, scandalous, and legendary.
At one point Nelson, Emma, and Emma's husband all lived together. Hmmm...
When Nelson died, however, she received nothing and eventually died, dissolute, dispirited, and abroad.
His body was preserved in brandy (an interesting use of brandy, but he was a hero after all) and transported back to England where he was given a state funeral.
From Wikipedia on his funeral:
Nelson's body was unloaded from the Victory at the Nore. It was conveyed upriver in Commander Grey's yacht Chatham to Greenwich and placed in a lead coffin, and that in another wooden one, made from the mast of L'Orient which had been salvaged after the Battle of the Nile. He lay in state in the Painted Hall at Greenwich for three days, before being taken upriver aboard a barge, accompanied by Lord Hood, chief mourner Sir Peter Parker, and the Prince of Wales. The Prince of Wales at first announced his intention to attend the funeral as chief mourner, but later attended in a private capacity with his brothers when his father George III reminded him that it was against protocol for the Heir to the Throne to attend the funerals of anyone except members of the Royal Family. The coffin was taken into the Admiralty for the night, attended by Nelson's chaplain, Alexander Scott. The next day, 9 January, a funeral procession consisting of 32 admirals, over a hundred captains, and an escort of 10,000 soldiers took the coffin from the Admiralty to St Paul's Cathedral. After a four-hour service he was interred within a sarcophagus originally carved for Cardinal Wolsey. The sailors charged with folding the flag draping Nelson's coffin and placing it in the grave instead tore it into fragments, with each taking a piece as a memento