For general sharedealing, Saxobank seems to be
very competitive, especially with commission free dealing on
Danish shares. They also pride themselves on being
an international bank with international clients, so you can take your dealing account with you when you move.
Only you can
make the decision if it's worth investing though. The
Danish government has punitive tax rates and a virtual
lack of tax allowances for people who wish to save
and invest for their own
future.