You can't have everything on your wish list, so you'll have to prioritize.
If you get a local Danish SIM, the usage should be cheap in Denmark and not bad in Sweden (since they're both in the EU, the extra charges are capped when you roam out of Denmark into Sweden). When you're in the country of the SIM, incoming calls are free; in other EU countries, they're not free, but again the price is capped. And you will get the fastest data speeds available (not a big issue with maps, but handy for other things). But, you will not get a US number. So, people in the US will have to pay high rates to call a Danish mobile (more costly than reaching a Danish land line). There are ways around this cost with Skype or with services like OneSuite and PennyTalk, but these may or may not work for your callers.
If you go with Telestial or some of the other international SIM cards, you will get a US number, but the data charges can be VERY high - double check carefully before getting one of these.
If you get T-Mobile in the US and have one of their Simple Choice plans, you will have a US phone number and unlimited 3G data included in Denmark and Sweden. Phone calls are $0.20 per minute, both incoming and outgoing. But if you don't have T-Mobile already, you will have to sign up for this, and if this also requires a new phone, the "buy in" fees for this will be high (of course, if you already have an unlocked phone and/or you're willing to change your carrier, it's a much more appealing option). If you are doing this, be sure you get a Simple Choice plan; some of their other plans do not include European usage.
You can learn more about your options on Prepaid GSM. Their Forums can get very technical, so don't be afraid to ask for clarification, but the people on them really know all the tricks: http://www.prepaidgsm.net/forum/forumdisplay.php?s=f9508fd563a58e373d619dd7f39b0fdd&f=22
At the top of that page, you can also see the links for National Operators (to learn more about specific plans available in Sweden and Denmark) and International Cards (like Telestial, MaxRoam, etc).