Depends on the part of Germany or Denmark you would start at. Schipol in Amsterdam is often cheaper than Frankfurt, of course Frankfurt is more central and Lufthansa offers connecting flights to everywhere, but KLM does out of Schipol as well. If you were flying out of Detroit or Minneapolis, Id say KLM, because Northwest/Delta has deals with KLM.
When I was around B/CS I would fly out of IAH, even if my parents had to drive my car back to Dallas, because it was cheaper. Dallas is a ripoff airport.
Also something to consider would be to fly to Chicago or Atlanta first and then get a flight to Europe out of one of those airports. I know that United has a partnership with Lufthansa and you can book a direct Ohare-Frankfurt flight through United, but its Lufthansa and therefore you get free booze .. if that matters to you lol.
Delta flys direct out of Atlanta to a lot of places, including here to Stuttgart, if they fly direct to here, then they probably fly to where you are going as well.
So summary, northern Europe first, Schipol would be an option to look at (Brussels, Paris, or Bonn/Cologne might be options as well), if you are headed elsewhere first, Id say that Frankfurt is the best choice.
Oh .. however I have seen some specials from Swissair, Zürich to the US for decent prices, was under 600€ on signs around here, that might be an option as well.
[This message has been edited by Randy03 (edited 12/13/2010 5:04a).]