Hi Bo,
I've never been there but there is the Rundetårn (Round Tower) in Copenhagen which was built in the 17th century as an observatory -
http://en.wikipedia.org/wiki/Rundet%C3%A5rn
I know that some who have been on tours with Fred Watson have visited the
Danish island of Hven where Tycho Brahe set up his observatory.
http://en.wikipedia.org/wiki/Uraniborg
Don't forget to visit Greenwich if you have not been there in the past.
Best Regards
Gary