Mmmm....Lars Von Trier just doesn't do it for me. I don't know how he became so important to the Danish film industry, the few films of his I've seen are crap if you ask me. So I'm not interested in seeing any more.
But Anders Thomas Jensen, Susanne Bier, Ole Christian Madsen, Nicolas Winding Refn...they are great filmmakers!
Have you seen
Adam's Apples?

I love that one too! How about
Bleeder, or
Vildspor, or
Prag? (All of those star Mads

)
Or try
Nattevagten (the original Danish version of
Nightwatch starring Ewan McGregor in the US) - it stars Nikolaj Coster-Waldau (recently seen on US TV in New Amsterdam).
I also loved
Kinamand, a great little film that doesn't star any of the big names I've come to know from Danish cinema.
Another good Danish drama is Fetsen (The Celebration) - has Ulrich Thomsen & Paprika Steen.
Oh and
Reconstruction! That's a good one too! A little confusing...but very good. Stars Nikolaj Lie Kaas - I think I got that on the Netflix used DVD sale for 5.99 or something.
Kira's Reason is a good one too....with Mads older brother, Lars Mikkelsen.
See what you started!! LOL!

I'm sure I can come up with more, if I think about it....