If you have 1 day--Take our walking tour through the old city, which isn't too taxing if you're still recovering from jet lag. Spend the late afternoon at Christiansborg Palace (on Slotsholmen), where the queen of Denmark receives guests. Early in the evening, head to Tivoli.
If you have 2 days--For your first day, follow the suggestions given above. On Day 2, visit Amalienborg Palace, the queen's residence. Try to time your visit so that you can see the changing of the guard. Continue beyond the palace to the statue of the Little Mermaid. In the afternoon, see the art treasures of Ny Carlsberg Glyptotek. At night, visit Scala, the restaurant-and-shopping complex.
If you have 3 days--For your first 2 days, follow the suggestions given above. On the morning of Day 3, visit the 17th-century Rosenborg Castle, summer palace of Christian IV. Afterward, wander through the park and gardens. Have lunch at one of the restaurants lining the canal at Nyhavn, the old seamen's quarter of Copenhagen. In the afternoon, go to the Rundetårn (Round Tower) for a panoramic view of the city and, if time remains, stop in at the National Museum.
If you have 4 or 5 days--For the first 3 days, see "If You Have 3 Days," above. On Day 4, head north from Copenhagen to Louisiana, the modern-art museum, and continue on to Helsingør to visit Kronborg Castle, famously associated with Shakespeare's Hamlet. Return by train to Copenhagen in time for a stroll along Strøget, the longest pedestrians-only street in Europe. For dinner, eat at a restaurant in Dragør.
On Day 5, visit Frilandsmuseet, at Lyngby, a half-hour train ride from Copenhagen. Have lunch at the park. Return to Copenhagen and tour the Carlsberg brewery. Pay a final visit to Tivoli to cap your adventure in the Danish capital.