If memory serves, the only true airline lounge is the SAS lounge, all the rest are contract lounges. I did read about the relatively new Primeclass Lounge, which is managed by the same outfit that does the Turkish Airlines Club at IAD, which isn't too bad when its not crowded.
I come to CPH about twice a year, but usually through CDG or AMS; this will be my first time flying direct to the US and thus crossing over from schengen to non-schengen at CPH. I should have time on the return leg to check out the lounge and will report back with the odd photo or two if I can.