You're gonna love Århus(Aarhus). Lovely city to be studying in... I would recommend that you try and find a way to Herning that isn't to complicated and the go see some hockey there. It's a bit shorter the Aalborg or Vojens and it's normally a place where some of the better prospects from Denmark start their career. Frans Nielsen(1 full season), Peter Regin(2,5 full seasons), Frederik Andersen(2 seasons as a backup) and Nicklas Jensen(1 full season) all put up significant numbers before leaving for Sweden/Canada.
Other than that there's not more to say other than congrats on getting to study in Denmark - Hope you enjoy it
Oh and Danish humor is often said to be a bit... special... Give it some time and it'll grow on you