There's also an overnight train from Stockholm to Malmo which I used last year, I thought the cost was quite reasonable given that it's effectively a hotel and a train. From Malmo it's just a quick ride over the bridge to Copenhagen.
The things I most enjoyed in Stockholm were the Vasa and Skansen open air museum. Copenhagen itself I didn't find very exciting but I enjoyed Roskilde and the Viking Ship Museum very much.
We stayed in the Marriott Copenhagen but not on the club floor. It's a nice hotel in a decent location but I didn't think much of the breakfast - not worth paying for (the second day we didn't bother, bought bread and cheese from the shop round the corner instead). In Stockholm we stayed at Frey's hotel which, small rooms aside, was excellent. They had a huge and very tasty breakfast buffet which made lunch un-necessary!