Good to see people have a good sense of strategy.

To attack Denmark looks like an easy option, the Catholic armies should fairly easily win against the Danish field armies... or so we would believe, but the battle of Lüberger Heide was extremely close and was mainly lost because Christian had only weeks ahead fallen from the battlements of Rendsborg, and it seems lost part of his sanity as a result of the impact. Also Denmark was at the time riddled with fortifications and had a very strong fleet that the HRE has no chance of opposing propely, so it would be Jutland alone after problematic assaults and sieges. Not good at all, but it gets worse.

Denmark and Sweden are not exactly at war, but it could hardly be closer to it (as usual at the time), not only would an attack rid us of the chance to ally with either against the other, but it would in fact put both on the same side. Sweden would likely jump at the chance to 'save' Denmark and thus appear that much better.

Lastly, the attack into Jutland would bottle up important armies in an easily blockaded peninsula. If the Swedish finished up in Poland, or made a seperate peace they would be in a superb position to take Hamburg and Lübeck cutting off the HRE army in Jutland, and with the Danish (and possibly the Swedish) Navy keeping taps on the sea traffic the army would have to surrender at some point.