Taking and holding the Baltic provinces and then converting them to Christianity can be a nice little personal GA goal for the Danes. Kinda like a crusade without the chapter houses, etc. The provinces are rich if you can make a trade network. Latvia and Lithuania are rebellious, so is Pomerania to a lesser extent. It often means you often have to fight your way through the HRE, the Poles, Hungary and even the Byzantines - not to mention Norvograd to the far east. If you start in early the horde will arrive and head towards Lithuania not long after you get done. Meanwhile you will have to hold off the French juggernaught to the west....

In the early period the Danes have a lot of fun and unique units - viking raider cav aren't especially powerful, but they can dismount anytime for Carls. Carls aren't quite as powerful as FMAA, but they are cheaper and the build requirements are low. Vikings are the backbone of your armies, but Landsmen are even more powerful and also easy to build. Thralls are slightly better than plain spears. And of course Huscarles. But everything except vikings goes way in High, so make sure you tech up in time. (I try to do it using just the unique Danish units, supplemented by a few archers, a few Slav javelins and Slav warriors, and the occasional merc - nice roll-play but you will miss having stronger cav and mounted missiles.)