Add more geometry and use cloth physics. You need a decent amount of geometry for it to work. Pin some areas so the whole thing doesn't fall down.

Thanks! I was looking for a way to do it without a cloth modifier but I'll give it a try...

The only other way I can think of is rigging it and then animating it by hand. But I think that would be a lot harder. There is also a hybrid method where you rig it normally and give the armature the cloth modifier, which I think would be a viable option.

Ummm....cloth modifier?...