This is my experience from 3 campains on Vh/H whith Denmark. It will be long, so sorry if don like it. This is about the first 60- 70 turns on normal time scale.
First of all I must say that Denmark's unique army is pointless. The best way is to use armies of 5 (later on CK) FK, 5-6 DFK, 4-5 mercenary spearmen and 3-4 archers (norse, crossbowmen are merks). MTW 2 is a game whith very powerful cav. so spearmen are live savers. You can use your cav against the enemys cav. but is to expensive. It is like WW 2- tanks dont fight tanks- infantry, guns and airplanes did. The only problem of this army is than you can retrain the mercs only in Europe, but this not a big problem. Just take the 60 provinces there call crusade to Jerusalem, hire tons of crusader sergeants and win the game. As long as you stay in Europe you can fight even the mongols (whith mercs mostly). Afcourse some will ask themselves wat is the point of playing Denmark, when there is nothing unique in it? Well i dont know.
The typical denmark's units are worthless. Norse axemen lose from DFK on equal terms and Ombudsiers are even worst. The only thing that is usable is the norse swordsmen. It is slightly weaker than DFK but is cheaper, and upgrades to particial armor. It needs only drill square. O and the other god units is dismounted huskarls. They come from castle and very good early shock infantry. In fact in my game it looks like on auto resolve they are immortal. They take very small loses and kill a lot. Before turn 50 i had a stack whith 6 of them on max. exp. But using them is pointless when you have DFK.
As for the archers, I use them only to harass the horse archers and to put the enemy's siege towers on fire. So 3-4 of the norse archers are more than enough. O and the crossbows have problems whith heavy terrains, so I always tend to use things whith narrow trajectory. The militia is prity standard. The sword staff militia is god, and Norse clerics are simply perfect.
The campaign is a simply thing. I separate my forces on two parts. The king goes for Oslo and Stockholm, and the heir goes for Hamburg, Shtetin Magdeburg(if HRE doesn't beet you for it) Anverp and Bruges. Hamburg is essential. From it you can recruit huskarls and they are crucial. Anverp and Bruges have garnisons of pikemen and whiteout them it simply impossibly early on to take them. This takes less then 20 turns. After this you have few options. Going to Russia and Poland is very stupid thing to do. Eastern Europe is poor, and Poland and Russia have a lot of HA. So if go for them you will be poor, and will have to fight a lot of heavy battles. Battles are fun. Poverty is not. Not to mention than until fighting Poland you will be attacked by the HRE, and is possible to get excomed. Fighting France means fighting and HRE and excomication. So i decide to fight Scotland and England. By the time I attacked Scotland they where in war whith England. There is a big chance on of them to be chance. Even if they are not it is not a problem. By the turn 20- 25 the HRE and France may wait for you to attack them, and to crush you. But if you dont they will begin fighting whit someone else. HRE will have a lot of problems in Italy, And France will have problems EVERYWHEARE. O give them a chance to ruin themselves. By the time you have pope problems the AI's will be to busy fighting eachother. And after you sack Britain you will have enough money to fix the problem. 20 000 will do it.
When you conquer Britain you get very rich. All you have to do is build you economy and wait until France angers the pope. Pay him for crusade and create huge stacks of crusaders to crash anything. Then kill HRE. The important thing is to whatch for the pope, and to use spies. Every attack must take city whithout siege, making it impossibly for the pope to stop you.Bribe the Pope, wait the cease hostylitis misions (better force the enemy to attack you). and use every chance. When you dont expect fightings for the next couple of turns dismiss the crusader mercs. They are to expensive to maintain in peace times. After France and HRE's north go for the money in Italy. By the 40- 50 turn Milan ore Venice will be out of the catolic faith, so a crusade whith 3- 4 full stacks will do the job. When you finish the crusade, use spies and siege weapons to take take the rest out North Italy in 1-2 turns. The point is to make Venice your eastern border. Bi that time it will be a large city. Put the ballista towers, some sword staff militia, 3-4 norse clerics and a good general and this is it. After This you will be rich, whith easily defended borders and will have the chance to do whatever you want. To blitz the rest of the map, or (as I do) to develop and wait for the "World is round". And all this way before the Mongols arrive.