Elsinore—called Helsingør by the Danes—is famed for its Kronborg Castle, a UNESCO World Heritage Site that’s the setting for Shakespeare’s Hamlet. However, there are several other reasons to make the 30-mile trip north from Copenhagen. The stunning underground Maritime Museum of Denmark, designed by Danish architects BIG (Bjarke Ingels Group), is built inside an old dry dock. Also on the harbor stands Han, a sculpture of a boy who, like the Little Mermaid, is posed on a rock, though he’s made from polished steel and looks like something from the Terminator movies. Every now and then he even blinks.