Dedicated to the work of Denmark's most famous sculptor, Thorvaldsens Museum is housed in one of the most striking buildings in the city, a Neoclassical gem with a unique ochre facade, intricate mosaic floors, and unusual slanted windows and doors. His work includes figures from mythology, studies of Christ, and a large number of self-portraits in mediums from charcoal sketches and plaster moulds to finished marble works. Don't miss "Cupid and Psyche" and "Jason and the Golden Fleece" on the first floor, and the artist's own collection of Greco-Roman art on the second floor. Admission is 40 DKK, and free every Wednesday.