I've previously (and very successfully) learned Spanish using the Pimsleur CDs, so when I was planning a trip to Copenhagen to visit a friend, I was happy to get a hold of the Pimsleur Danish CDs.
Unfortunately, while the Pimsleur method is by far the most effective I've found for learning to speak a language (as opposed to reading it), the execution of the Pimsleur Danish is CD is substandard. The dialogues are not of the same quality of those used in the Spanish lessons, and the male speaker has a markedly Swedish, not Danish accent.
If you do try to use these to augment your Danish instruction, model your responses on the female speaker, not the male. My friend in Copenhagen is still teasing me about my Swedish accent.
One of my friends at work, who is married to a Dane, recommends Colloquial Danish as the best Danish instruction CD/book combo she's been able to find. That's where I'll be headed next...