Thanks for all the feedback.
As John suggested it is a Hericium species - as far as I understand a
Hericium coralloides. Can be mistaken for
Hericium erinaceus but that is extremely rare in Denmark.
It's relatively rare in Denmark - one source suggests an estimated growth of 350 found at 47 known locations. So, even if it is edible (Frank) it would be a bit unfair!
It almost always lives on dying or dead beech trees - preferably very old ones.
I did have my macro lens in the bag but ... here is a crop instead