<p>The phenomenon of wave set-up may substantially contribute to the formation of devastating coastal flooding in certain coastal areas. We study the appearance and properties of empirical probability distributions of the occurrence of different set-up heights in about 80 km long section of coastline near Tallinn in the Gulf of Finland, the eastern Baltic Sea. The study area is often attacked by high waves propagating from various directions and the approach angle of waves varies largely along the shore. The distribution in question is approximated by an exponential distribution with a quadratic polynomial as the exponent. Even though different segments of the study area host substantially different wave regimes, the leading term of this polynomial is usually small (between −0.005 and 0.005) and varies insignificantly along the study area. Consequently, the distribution of wave set-up heights substantially deviates from a Rayleigh or Weibull distribution (that usually reflect the distribution of different wave heights). In about 3/4 of occasions it is fairly well approximated by a standard exponential distribution. In about 25 % of coastal segments it matches a Wald (inverse Gaussian) distribution. This property signals that very high extreme set-up events may in some locations occur substantially more frequently than it could be expected from the probability of occurrence of severe seas.</p>