As a child I loved full fat Jersey milk and I have happy memories of buying fresh milk from local farms, still warm. Hansens, the well-known and traditional ice cream company here in Denmark has opened a dairy shop close to the centre on the city where they take regular delivery of farm fresh Jersey milk, which you can take home in old style glass milk bottles.
If you follow them Facebook you can keep abreast of new milk deliveries in the store (usually a Wednesday). They are also on Instagram and post some mouth-watering images. Address: Store Kongensgade 93, 1264 København K