For wine purchasing a good place is Rosforth & Rosforth. Even better is the location, under the knippelsbro bridge, very hidden.
Also nice for their professionally pleasant service and knowledge. And also for the interior.
Whenever I feel uninspired I visit the (now genericly named) Design Museum, formerly known as Kunstindustrimuseet. Sort of the V&A of Copenhagen. An old museum filled with gorgeus fabrics, weird artifacts and a cozy library filled with books about arts & crafts from around the world. If you're still uninspired after a visit here you're not able to. Don't forget to have lunch in the beautiful center garden surrounding by the overgrown buildings, statues and old trees.