When on Northern Sjaelland - you better visit the Louisiana Museum of Modern Art.
Here some samples from their art installations.
From the net:
Art, architecture and nature
A visit to Louisiana is an experience where art, architecture and nature is manifested to one.
Get an impression of the 'spirit of the place' as Louisiana's founder Knud W. Jensen called the atmosphere of Louisiana in their exhibitions
Find outside and inside art installations and/or participate in a guided tour.