Cost of living is alot higher than the UK when it comes to food etc, Denmark got the highest food prices in all of europe. hourly pay is higher ofcourse, but you do pay 45percent tax.
After almost 6 years in the UK i am still amazed when i hear brittish people complain about how expensive the UK is, as it still seems soo cheap to me when i go shopping.
Renting a flat is probably around the same price as the UK, again depends what area, copenhagen beeing realy expensive.
health service is very much like the NHS, works the exact same way.
Dentists are expensive though as not covered under the "nhs".
Life in general is good, and i think this happiest people in europe is down to people mostly beeing content, but its also a product of most people not wanting to change things, they want things as they used to be.
There isnt many places in the country where you cant see someones house, but if you go to the westcoast for a long walk on any spot of the hundred of km long sandy beaches on a windy day, it will feel wild and remote :)