One thing that many expats get exasperated about is the lack of decent sliced pre packed bread here (and in France too where the option is very sweet American style bread). One of the reasons is that Danes enjoy fresh bread from the bakery, whether it is a loaf, rugbrød or rolls (rundstykke). You can get your rundstykke spread with butter there and then in the bakery.
When I was growing up we referred to bakery bread as ‘nice bread’ and as we didn’t have a village bakery and the few loaves delivered to the grocers soon went, it was something we had as a treat. I still do call it ‘nice bread’ and I noticed my friend did the same when I was visiting her a few weeks ago. Why is it we Brits are prepared to put up with the opposite of ‘nice bread’ (so nasty bread?) as our regular carb fix?
I love the European culture of local bakeries – independent and chains – that sell a selection of freshly baked goods everyday. The stereotype of a Frenchman walking with a baguette and nibbling the top isn’t there for nothing. These breads don’t last more than one day in terms of freshness but then again there isn’t normally a lot left.
Danes use sliced bread for toasted sandwiches and that is about it. We buy the best of the selection called Roast n’ Toast, but I have only seen it in a few Føtex supermarkets, but if you want to make a decent bacon sarnie this is the bread for you, especially if you can get hold of English style back bacon.
So where do I think you can get the best ‘nice bread’ in Copenhagen? I am a fan of Andersens (especially their Tiger rolls which I usually pick up for my lunch if I am at home) and also Lagkagehuset but any place you happen to walk past will certainly offer something better than the cardboard sliced bread in the supermarket.
NB for readers in the UK you can try the delicious breads and pastries from Lagkagehuset yourselves if you happen to be close to Piccadilly Circus in London as they have opened their first bakery outside Denmark there but branded as Ole & Steen. Check out their Facebook page
Dejlige Days 
I am also very much in love with the “Kanelsnurrer” from Meyers. I think I have read you can get them in New York as well, after Claus Meyer opened over there..
I’m possibly going to sound a bit rude here… but if someone wants everything to be the same as at home… just stay at home, don’t emigrate. Speaking as a Brit, we should be thankful for the culture of quality bread in Denmark and other European countries, most bread in the UK has very little nutrition and very little taste. (Real bakers exempted of course 🙂 ) That’s a shame as the UK used to have an amazing tradition of bread (not to mention cheese, pies, sausages, etc)
I love the independent bageris in Koge, and even the in-supermarket bageris are quite good.
I would agree, I don’t miss cardboard slice bread but it’s a cultural change that I’m sure in time many expats embrace. I rarely eat the sliced bread myself now