The history of W in Finnish is interesting (for some values of "interesting"). Mikael Agricola [1], a Lutheran clergyman, essentially created literary Finnish from scratch in the 1500s (before that, Finnish had existed solely as a spoken, vernacular language, with official business conducted in Swedish (or German), and until the reformation, the language of the Church had of course been Latin).

Agricola had to create an alphabet for Finnish, and naturally borrowed heavily from Swedish and, to a lesser extent, German. His orthography was not particularly self-consistent, and for example the /u/ and /v/ phonemes might be written as either "u", "v", or "w" in Agricola's works. For example, the word uusi (/u:si/; "new") was written by him as "wsi", indeed using "w" as a literal "double-u". The /w/ sound did not exist in spoken Finnish.

Over time, Finnish became the almost entirely phonetic language that it is now, with letters matching phonemes essentially one-to-one. /u/ was regularized as "u" and /v/ as "v". As /w/ still doesn't exist, the letter "w" is very rarely used, mainly in some surnames as an alternative spelling of "v"; phonebooks used to collate "v" and "w" as the same letter. In loanwords "w" becomes "v" (e.g. "whiskey" -> viski). Finns with a thick accent (see "Rally English" [2]) tend to pronounce the foreign /w/ as /v/ when speaking English, similar to Germans.

Today, imitation of Agricola's orthography is the Finnish version of "ye olde English", used for humorous or intensifying effect. For example, the word vanha "old" might be spelled "wanha" in the name of an antiques shop. "Wanha" also used to be a standard "old news" reply on IRC, especially to links that had already been pasted by someone (and this became so annoying on some channels that it became a kick-worthy offense).

[1] https://en.wikipedia.org/wiki/Mikael_Agricola

[2] https://en.wikipedia.org/wiki/Rally_English

A Necessary History of the Oddest Letter: W