When I last visited Copenhagen a few years ago, I visited a number of shops. Two, Banani and Schroder, were real stand-outs, not just in the bikes offered, but in the friendly nature of the families running the shops. Banani is a small shop, and they still build frames in a little building across the parking lot. The son does the building now, having taken over from his father, who is still around the shop and loves to show off old catalogs. Schroder is another father/son enterprise, and they have a number of really nice older bikes on display. I wouldn't hold out hope for finding a lot of old parts lying around though. When I asked about that at Schroder, they said they "threw away all that stuff during the last move".
Here's a link to some pix of my visits to Banani and Schroder:
http://www.wooljersey.com/
Wayne Bingham
Lovettsville VA USA