I dunno about the danish dictionary, but it is possible to input special characters. Pretty easily too.

 

it is possible to type special characters. on either keyboard (hard or soft) just press and hold a letter to get a set of symbols associated with that letter. i checked and all the ones you mentioned and many more are available.

in Settings > Language & keyboard settings, there is a "Select locale" option. on the droid this just has english and spanish...maybe the milestone has more options? i think this might change the dictionary, but not sure.

 

It doesn't support everything though. I cannot for instance type in Vietnamese b/c some of the marks aren't available, like ọ or ẹ or ố or ả, and other combinations.