News & magazines:

www.borsen.dk
The best business daily.
(DK, EN)

www.ivaerksaetteren.dk
Entrepreneurship magazine - available in print, requires subscription. See the interview with Jesper Andersen.
(DK only)

www.liftoffmagazine.com (I've broken this link - it seems to think my trial subscription has expired...)
LIFTOFF (The innovation & Venture Magazine) - Danfoss Ventures - also available online
(EN)

www.cphpost.dk
The Copenhagen Post - Copenhagen-focused English language newspaper.  Comes out weekly and includes a great 'In and Out' section covering cultural events.
(EN)

Publications:

dvca Venturekapital.pdf
Venture Capital In Denmark -  Where to go ?
(DK only)

vf PDF/BusinessAngels2002.ashx
Business Angels  In Denmark  from  Vækstfonden
(DK only)

idea-denmark Global_Entrepreneurship_Monitor_2007_lowRes.pdf
Growth -  Entrepreneurship in Denmark 2007- GMID
(EN)

vf Venturekapital2007
The Danish Market for Venture Capital and Buyout (2007) - Vækstfonden
(DK only)

Doing business in Denmark
Nice brochure with basics on taxes, incorporation and so on from Krøyer and Pedersen accounting firm.
(EN)