Flying to London is often cheap, places like www.go-today.com have good deals, and so does CO at certain times. From London you could fly a low-cost carrier such as Ryanair. You will however have to transfer through inconvenient airports, IMO not worth the hassle.

SAS regularly have cheap fares that don't require too much advance purchase, non-stops from ORD and EWR, perhaps you could get one ticket DEN-EWR/ORD and a separate SAS ticket?

Or if you find good fares to CPH you could always take the train from there.

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KLM PE,HHonors Diamond,SPG Plat,PC Plat,SAS Silver