The Danes are very good at storming castle walls-Norse Swordsmen are perfect for this role with their high attack value, large unit size and one-handed weapon. Two-handed weapons cannot be wielded effectively on castle walls. Alternatively, try using Norse Archers for this role. They are basically heavy infantry that can shoot bows too.

Cavalry will be hard to fight using the base Danish units, as they don't get any kind of spear weapon aside from Spear militia until Obudshauers/Swordstaff Militia later in the game. Mercenary Spearmen are your best bet here. Your own heavy cavalry selection is rather limited, but Norse War Clerics (trained in cities with an Abbey) and Huscarls have armor-piercing weapons, making them good choices to use against enemy heavy cavalry.