The Killing was a nationwide phenomena when it first aired, but I was backpacking in Australia at the time, so i was completely oblivious to it. When I got home and it was all over the media and everyone was talking about who had killed Nanna Birk Larsen, I thought it was an actual murder case.
For us Danes it's funny to see all the Danish actors popping up in international shows, Sidse Babett Knudsen from Borgen is currently on HBOs Westworld and Mads Mikkelsen is everywhere from Hannibal to Star Wars.
One older show i can recommend is Unit One (Rejseholdet in Danish). It's inspired by actual murder cases and actual police work, instead of the fanciful serial killers that often show up in Scandi drama. It was also Mads Mikkelsens breaktrough, where he got his sexiest man alive image. He tried to escape this image by playing increasingly nastier and unsexy characters in a series of very popular absurd danish action comedies, (Flickering Lights, The Green Butchers, Adams Apples and Men and Chicken) but no matter how much ugly make up they apply, the ladies still loves him.