An easy way to get to Gilleleje is by train. There is either the Holbaekbanen from Helsingor via Holbaek and ending in Gilleleje, or a train from Hillerod (itself reached by S-train from Copenhagen). These are little private lines but you can still go on Greater Copenhagen "klippekort".
Being what it is, no wonder Gilleleje has a big guest harbour and lots of sailors from all over Scandinavia. Lots of Norwegians find their way here both by their own boat and other means.