At least one thing danish cooks know how to do, and they do it so well: Pastries!!!
Somehow pretty close to those you can find in Sweden or Finland or even in Germany or France, Danish pastries are very delightful.
Cinamon, jam, chocolate...all are tasty, not too sweet and with this perfect crusty feeling (and sound when you bite them).
If you are leaving Denmark and feel you need a small somehting to feel your stomach and feel happy, go for it! (and skip the pølser;)