We have very few breweries here in Denmark and the largest are only brewing boring pilsner beer. The situation is getting better and better. You see more and more microbreweres every year. Check out ale.dk (in danish) if you want to know more.
Personaly I am a big fan of Belgian beer. Especially trappist beer. You can get them in Denmark but they are not cheap. One of the best places to by them in the Copenhagen area is at Belgiskbryg (also in danish). Last cristmas I got theese 

Most of them were exelent.
I month ago I went to Flensburg to do some shopping and got theese German pilsners. (Yes I know one of them is a light beer - it was an accident.)

Most of them were of standard pilsner quality - nothing special.