Welcome to Roskilde!
It is easy to recognize the train station in Roskilde. Just remember to look for these GIANT pots! Roskilde is where I usually stay. It is on all the main train lines so travel is easy. Also, it is less expensive and less crowded than Copenhagen. Roskilde is a well located city if you plan to spend some time in Denmark. Trains run between the airport and Roskilde regularly....very convenient. Also, this station is a stopping point for trains going into to Copenhagen or traveling further west.
Come along with me on my journey.....
For Map People: Find Copenhagen go directly west to Roskilde