Not one, but four palaces make up the backdrop for a lavish military performance at the Amalienborg Castle, commonly known as the change of guards. Hundreds of people gather at noon at the octagonal courtyard, to watch the show. The uniforms, the marching, the ambience are all unique and worth the visit.
The palaces were, and still are, the Winter home of all kings passed and their families.
Stick to the free outdoor show if you don't feel like paying a significant entrance fee for the Amalienborg Museum. This attraction is part of the city bus tours so hop on, hop off.