The standard character set containing danish characters is ISO-8859-1, also named 'Latin1 (West European)'
There is also a special Nordic set, ISO-8859-10, also named 'Latin6 (Nordic)'
# vim /etc/rc.conf
KEYMAP="us" SET_WINDOWSKEYS="yes" EXTENDED_KEYMAPS="backspace" CONSOLEFONT="lat9v-14"
If you are using Gentoo, you can reload the keymap after having made any changes:
# /etc/init.d/keymaps restart