I've been to the Lego store in Copenhagen and I think it's really nice, the prices are pretty normal, there are no special sets, last november I was in the Legostore in Berlin and it was much like it. I've been in the stores in Legoland in Billund and overthere all the Lego sets were much more expensive, approx 50% more than the retail prices in Holland (where I live). I'm going to Denmark again for our holiday in June so I'll probably visit Copenhagen and the Lego store again, so i don't need an excuse for the money I spend there because my wife is going to the Disney store located 500 meter further down the street.
Tantalus I don't know how you are going to Copenhagen but coming from the Central Train Station; take the main exit turn left, at the Hard Rock Cafe turn right and keep going straight ahead over the Radhuspladsen into the Stroget and you will see it and the right side, it is about 10 min. walk from the station.