Visa requirements for travelling to Scandinavia from Australia?

These are all Schengen countries. For the Schengen area:

Please note that Australian citizens holding an ordinary passport do not need a visa for stays up to 90 days for all Schengen states for tourist or business purposes.

You will, of course, need a passport, a reasonable explanation for your trip, and access to sufficient funds for your stay (though you're unlikely to be asked too many questions). I'm not certain if health insurance is technically required (it is for people who require visas), but it's certainly advisable to have insurance (or know what your Australian insurance covers), even if you're unlikely to be asked for proof at immigration.

Note that you get 90 out of 180 days in all Schengen countries combined, just in case you've recently stayed elsewhere.

Also note that if your flights have connections in any non-Schengen countries on the way to/from Cophenhagen, you'll need to confirm whether there are any entry requirements you need to fulfill. There aren't likely to be significant ones unless you need to claim/recheck bags somewhere or have a really long layover, but it's good to make sure.

Have a nice trip!