When you start up here you will probably have a requirement to transfer money from abroad into your new Danish Krone bank account to get you started. For this purpose I used XE. As they are internet-based you get a much, much closer deal to the real exchange rate than your normal bank will ever give you. I compared HSBC and XE and found I saved over 2% of the total sum being transferred. Highly significant if you're talking about £1000s of pounds.
I guess the reverse also applies when it's time to go too.