We have obtained a Chandra/HETGS spectrum of one of the most massive and luminous stars in the Galaxy: the blue hypergiant Cyg OB2-12 (HIP 101364, spectral type B3 Ia+). This is the first measurement at high resolution of X-ray spectral lines in a blue hypergiant and allows comparison of X-ray properties between massive stars at different but related evolutionary stages: O-type supergiants, luminous blue variables, Wolf-Rayet stars, and blue hypergiants stars. The new data provide a look at how the most massive stars shed mass during their pre-supernova evolution. We find that In Cyg OB2-12 the resolved Si and Mg lines are broadened by about 1000 km/s (FWHM). The lines, however, do not show appreciable centroid shifts (/s), which would be much larger for canonical moderately thick winds (~500 km/s). The He-like Mg XI lines show evidence of photo-excitation, implying a wind origin close to the UV-bright photosphere. The spectrum also indicates relatively high temperature plasma, up to 22 MK (1.9 keV), showing significant continuum and emission lines below 5A (above 2.5 keV). Hence, at first glance, the spectrum resembles neither an O-star thick wind, nor a magnetically confined (narrow-line) plasma. We will present more detailed wind models using both X-ray and UV spectra to constrain fundamental physical parameters of this star.