WWII in Denmark officially only lasted a couple days. Unofficially they used every weapon that they could get ahold of - much of it taken off of the Germans.
And now I will stray a little from the topic...
My grandmother was a nurse during the war and involved in the resistance. She was picked up by the Gestapo at the Copenhagen train station once but that is as much as I know. She wouldn't talk about any of it.
The King wearing the yellow star is a bit of an urban legend. Its more that the Germans didn't dare go as far as that because they were worried about the populace rising up and going on strike.
Ref:
http://www.edb.utexas.edu/resources/booksR4teens/book_reviews/book_reviews.php?book_id=22
http://www.auschwitz.dk/Denmark.htm I'll quote a bit here:
"In the book Queen in Denmark by Anne Wolden-Ræthinge the Danish Queen Margrethe II says about the legend:"It is a beautiful and symbolic story, but it is not true. The myth about the King wearing the star of David ... I can imagine that this could have originated from a typical remark by a Copenhagen errand boy on his bicycle: 'If they try to enforce the yellow star here, the King will be the first to wear it!' To me, the truth is an even greater honor for our country than the myth."
King Christian X became a prominent figure for the real views of the majority of the Danish population. The King made it his practice to ride his horse alone through Copenhagen every morning to underline his continuing claims for national sovereignty, unarmed and without escort. He became a national symbol for rich and poor alike, a positive contrast to German militarism and to the cult of the Fuhrer. In fact King Christian rejected many aspects of the occupation, made speeches against the occupying force and became known as a protector of the Jews.
In December 1941, after an arson at the synagogue in Copenhagen, he sent a letter of sympathy to Rabbi Marcus Melchior. The welfare of the Danish Jews was of great importance to the king and the Danish government. "There is no Jewish question in Denmark" were the words of Foreign Minister Erik Scavenius to the German top Nazi Hermann Goring in autumn 1941.
Tales of King Christian's snubbing of Hitler and the Nazis (some true and some apocryphal) began to circulate. When Hitler sent a letter of congratulations to King Christian X on the latter's 70th birthday in September 1942, the monarch's brief response ("My best thanks") was taken as an insult by Hitler, who recalled and replaced the German ambassador in Denmark."