Hamburg is a key priority so i usually send my faction heir along with all of my troops in the capital to siege it. I send my faction leader with the force to your east and get the two provinces up in sweden. After Hamburg, take Man something which is a castle, stettin, and if you can breslau and prague. Your main advantage is that your foot soldiers rock. You can get dismounted huscarls before fortress and they are about as good as dismounted feudal knights with less upkeep. Also, the game says that the danes are awful at cav but the huscarls cav can take on feudal knights and are pretty good. Finally, war clerics are just awesome since you can build them in cities and only require church buildings which you would probably build anyways