Theres a place here called Sporup Arcade Museeum, out in the middle of nowhere run by a private person at his own adress, with a pretty impressive collection of old arcade games. Entry fee is free and you can play the games on display.
I visited the website just now and he has now a overview of the machines currently on display and theres quite a few shmups. Gradius 2, Raiden DX, Raiden Fighters Jet, 1942, 1943, Galaga, R-Type, Silkworm and Armed Police Batrider.
Season opening this saturday and from then on its open every thursday from 3pm to 7pm.
link to the overview:
http://www.arcademuseum.dk/museumoversigt.php
