Best city in the world!
I went last week, and this was invaluable for spots:
http://iconosquare.com/tag/copenhagenskatespots This too:
http://iconosquare.com/copenhagenskatespotsYou'll find stuff on the way to places too, the city has so much to offer.
I would recommend heading to these places also:
Fisketorvet shopping center (Big 3 block and handrails)
Jarmers Plads (Blocks that Hjalte skates)
Copenhagen City Hall (Good ledges outside the Palace Hotel and loads of flatground)
Nansensgade (The hips everyone skates)
Israels Plads (Really near Nansensgade, loads of stuff... Ledges, the bowl thing in the middle of the plaza and gaps over the water)
Fitness DK Valby (Good ledges there and loads of flatground)
Skov & Landscab (Interesting blocks and smooth floor)
Dantes Plads (Kicker/Bump over an electric box)
Amager Strandpark (Loads of stuff dotted around the beach)
Oresundsvej 8 (Crazy wooden blocks, mad wallie/manny potential)
Most of the spots are in here:
http://www.pixelstv.com/2015/07/uk-venture-riders-andy-coleman-and-jess-young-in-cph/