Öresund Bridge, Malmö
If you come from Copenhagen you can come by train or by boat. Both options are equally good. I went there by train (I wanted to experience the crossing of the Øresund bridge) and came back by boat. I preferred the boat, but I must say the sea was very calm that day.
Malmö is not very big and you can walk everywhere. If you want to go to the beach (not a great view except in summer), you can rent a bike.
Surprisingly enough, the best way to get to Malmo (Sweden) is from... Copenhagen (that's what I did myself). Well, not that surprising, maybe, when you consider that it takes a train much less than an hour to get from the Central Station and Airport of Copenhagen to Malmo. There are also good railway and road connections with other places in Scandinavia.
I went around on foot, and that was OK with me...