You can find a list on
http://www.liffe.com/liffeinvestor/
under "LIFFE Designated Brokers"
Some advertise regularly in the Financial Times newspaper and Investors Chronicle magazine.Think of an analogy with the manufacturer, to the wholesaler, to the retailer. Personally, when I choose I try to choose the best I can afford. As much as possible cut out the middle man but without sacrificing quality.
I am not familiar with Denmark, but the Saxobank website does look good, although I don't have an account with them. Besides you can't always believe what is posted on forums.
I try to figure out the trends there by reading the magazines including The Banker (
http://www.thebanker.com) and Euromoney (
http://www.euromoney.com). The magazine version, not the websites.