Usually I take a train across the Øresund Bridge, an engineering marvel that connects Malmo, Sweden, to Copenhagen, Denmark. Unfortunately, the train travels below the vehicle deck, which means you can’t actually see the bridge.
And this is a bridge worth seeing.
The crossing itself is about 10 miles. Coming from the Swedish side, the first five miles of your trip is over a bridge that floats 187 feet above the water before briefly landing on an island and then diving into a tunnel beneath the sea. The girder and cable-stayed bridge section has two pairs of free-standing cable-support towers that seem to grow in height as you approach . . . until they disappear into the sky. Even on a road that is more than 200 feet above the surface of the water, the tops of those towers are still almost another 400 feet above.
Rent a car and take a trip across (either Copenhagen or Malmo makes a good day trip), but be prepared to pay a hefty fee for the privilege. The toll is roughly $60 U.S. each way.
Øresund Bridge English-language web page has current toll information: http://uk.oresundsbron.com/page/1087
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It's the only way to cross the sound now
Before the bridge was built there were several ways to cross the sound between Sweden and Denmark: there were large ferry boats, quick smaller boats, and hovercraft. Now that the bridge is built it's the only way across--and it's expensive, about $60 ONE WAY by car. So there's a monopoly and the price is high. Welcome to Scandinavia.