After meeting a Mexican tourist on the train back from Louisiana, who recommended Sagnlandet Lejre to us, we have been meaning to visit. It is billed as Land of the Legends and is a huge open air museum about an hour away from Copenhagen.
It is not a cheap place to get into and I would definitely take a packed lunch next time but it is an amazing place to experience Stone Age, Iron Age, Viking and 19th Century life in Denmark. Very much like the Frilands Museet, there are historic buildings rebuilt in the grounds. There are people in costumes who show you traditional crafts, talk about their lives in the relevant times and you take take a horse and cart ride around the whole site.
It is also possible to stay in the traditional homes for a week and live a traditional life.
It is closed now until the weekends in Advent and then again until the Spring. The bus runs hourly from Lejre station directly to the entrance.