We sometimes joke that Captain should have been named Linus because he's always carrying his blanket around. He'll come out of our bedroom, blanket in mouth, tail high, prancing around, very proud of himself for finding where I've hidden the blanket that used to line his puppy crate, and then shake his head around, ears flapping all over, and flip the blanket around as he's biting on it. Very, very cute.
He even did this with my post-race (I did the SF half marathon on Sunday) "moon blanket" this weekend (well, after barking at the weird silver thing first):