Well, you could add a bezier curve, shape it how you want, then convert it to a mesh, and extrude from it. Add > curve > bezier. Enter edit mode and shape it as you want, object mode, Alt + C > Mesh from Curve/Meta/Surf/Text, edit mode, E to extrude.
Or, you can add a plane and delete its contents: add > mesh > plane, edit mode, X > faces to delete the face. You'll be left with an empty mesh. Go into vertex select mode, hold Ctrl and click in the 3D window to create the shape you want. You'll get a path made of vertices and you can extrude from it.
If you want the end to taper, edit mode, edge select, select the edge at the end of your flag, enable proportional editing, press G, and scroll your mouse wheel make the...circle thing (don't know what it's called) smaller. Press S and scale the end of the flag. Proportional editing makes it so that the rest of the geometry--everything within that circle--will scale as well but it won't scale as much. Be sure to turn off proportional editing when done.
At the 3:00 mark, the video shows how to use proportional editing. At about the 3:50 mark, the video shows how to add the plane and then add a line of vertices.
Edit: I forgot to add that if you want the flag to have two sides, you can select your flag, edit mode, press A to select everything, shift + D to duplicate, G to move the new geometry away a little bit so there's no clipping (press X, or Y, or Z to constrain your movements to one axis), then W > flip normals. Depending on how thick you want your flag to be, you may want some faces to fill in the gap. Edit mode, vertex select, select four vertices on one end (your mesh will be in quads at this point) press F to add a face. Do this on each end. You'll be left with a hole. Select all of the vertices that line the hole then Ctrl + F > grid fill. You can also add a solidify modifier; it does the same thing and if you have fill rim checked if will fill in the gap between the two sides automatically. If you want the flag to be thicker (wider) on one end turn on proportional editing, edge select, select one of the edges at the end of your flag and move it away from the other edge a little bit. Turn off proportional editing afterward.
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