amazon.co.uk only sells to UK customers for now. That's true for Kindles and books, as far as I know. Amazon.com will sell you e-books, if they are not geographically restricted. Many are, but many are not.
I don't know about Denmark, but I get the feeling that European publishers generally favor ePubs with the Adobe DRM. You can only read those on the Kindle if you remove the DRM first (illegal in France, I don't know about Denmark) and convert them.
It's a hard choice, but as already mentioned, you have to figure out first what format offers the most books you're interested in.
I wouldn't recommend the Kindle unless you are only interested in English-language books, or ready do tackle DRM-removing.
I like the Opus, it's lightweight and easy to use
