I visited Denmark several years ago when I was still eligible for the best youth hostel deals. At this time I stayed in a youth hostel in Copenhagen which was really fantastic. The only complaint I generally have about youth hostels are the early check in times required to spend the evening. One can't enjoy the nightlife that well if you stay at a youth hostel. In any event, to accommodate this problem, I would really go on the rough if I wanted to enjoy the night scene. Basically you rent a big locker at the train station to stuff all your belongings in and then plan to stay up ALL night and enjoy the night scene! You can't do this everyday (or you really will start hallucinating from sleep deprivation! -- it happened to me once), but you can interject one (or more) of these wild nights into your trip from time to time.