We recommend either Nordea or Danske Bank. You will need your passport – or some other form of ID – as well as your CPR number and NemID or MitID. Many exchange students like using Revolut since you do not need to open an account and you can transfer funds in DKK. If your country of origin does not allow you to use Revolut, there are other options such as PayPal and Wise to consider.
Fees for banking services are low and normally free for students.