Royal Denmark

No, we didn't see Mary. According to the security guard, she was spending her summer break at another castle.

We saw a lot of palaces and 'royal' buildings' in the city though.

Christiansborg Palace, now houses the Danish Parliament, Supreme Court, Prime Minister's Office and the State Reception Room.

Amalienborg, city residence of the royal family. There were four identical 'palaces' around this square. "The four palaces wear built by four noble families in the middle of the 18th century on direct orders by the king Frederik V. The King needed a new royal palace but he didn't want to pay. The four families were given tax immunity for 40 years as token for their services to the crown." (Source: http://www.copenhagen.com/tourism/royalpalaces/amalienborg.asp?Menu=Tourism)

The trusty security guide said that the Queen is living at the oldest looking one. The flag pole was empty, she was away with her husband, in their French chateau.

Rosenborg Palace, housing lots of important royal treasures

The Royal Theatre