I tell anyone who will listen that you really do need to try a Danish hot dog from a street vendor while you're here. Honestly, any street vendor (organic or not), but DØP is particularly popular. There are locations next to the Round Tower and on Strøget, so it's great if you want to grab something quick while shopping in the city center. And if you want to do it the "Danish way," make sure you get a chocolate milk to go with your hot dog.