Check out the video for "The needle in the butterfly" by Danish act Salem: http://www.youtube.com/watch?v=UX6Ns19RMWY
The clip features footage from fellow Dane Lars Von Trier's movie "Europa" and, along with "The kingdom" and "The five obstructions", is very recommended viewing. I appreciate Von Trier's more "difficult" work too ("Dancer in the dark", "Breaking the waves", etc.), but it's nothing I'd ever feel compelled to rewatch.
So is this a new trend in Danish music? Phonovectra recently made a video using the work of Carl Th. Dreyer, another famous Danish filmaker (who also happens to be Von Trier's hero from what I've read). Who's next?