Although the four days of Norway’s 15th by:Larm Festival were dominated by the presentation of the second annual Nordic Music Prize, there were plenty of other distractions: a sobering tour of Norwegian black metal’s infamous sites, a talk by legendary Nigerian drummer Tony Allen, what felt like millions of shows in millions of venues, and weather confounding all expectations of what Oslo ought to be like in February.

Although the title of this new DVD box set was a given considering the nature of the films included, all six films collected are – whatever their reputation, levels of nudity and explicitness – sober-minded, hardly measuring up to any standard of what normally constitutes erotica. Three are dry sex education films, presented by real-life psychologists, while the other three are bizarre examinations of an alienated young women in relationships that involve power play, subjugation and abuse. Like nightmare, no-budget counterparts of Ingmar Bergman’s Scenes From a Marriage.

Although Lars von Trier’s latest boasts a few mainstream stars (amonst them, Kirsten Dunst, Charlotte Gainsbourg and Kiefer Sutherland) and the director himself has described the film as having not only having a Hollywood aesthetic but also - horror of horrors - a happy ending, everything is relative.

What is it about Denmark? What, specifically, is it about Danish drama? I am currently fourth in the queue to borrow a box set of The Killing ( I know, I know: late), which all experts advise is as lethal as crack and to which Jennifer Saunders lately paid hilarious homage in Absolutely Fabulous. Borgen has just started trafficking across our screens, and last autumn there was the piercingly good low-budget film The Silence, partly German but also robustly Danish in its aesthetics and ethics.

Knitwear fetishists won’t be as thrilled with Borgen as they were with The Killing, but based on the first two episodes of the Danish political drama, Birgitte Nyborg Christensen is a match for Sarah Lund. She’s as likely to stray from what she ought to be doing as Lund and just as adept as spotting what no else can see.

The surprises linger longest. The things you’re not prepared for, the things of which you’ve got little foreknowledge. Lykke Li’s Wounded Rhymes was amazing, and she was equally astonishing live, too. Fleet Foxes's Helplessness Blues was more than a consolidation on their debut and The War On Drugs’s Slave Ambient was a masterpiece. But you already knew to keep an eye on these three. Things arriving by stealth had the greatest impact.

It sounds Vietnamese. A wordless vocal floats above bowed strings. Chiming strings drift in, shimmering. Piano notes twinkle. Musical fog, it rolls in and is then suddenly gone. “In the Valley” opens Music for Confluence. It’s a perfect evocation of geography and environment.

People speak to her. It could be her mother. It could be a colleague. But she doesn’t react, continues what she’s doing. Which, usually, is leaving. It’s welcome back to Sarah Lund, whose watchability is in inverse proportion to her demonstrativeness. As recalcitrant detective Lund, in the second series of Denmark’s The Killing, Sofie Gråbøl is as magnetic as the first time around, whatever she’s wearing. Sweaters be damned, these two opening episodes were up there with the BAFTA-winning first series.

Family occasions can be fraught affairs, as playwrights from Harold Pinter to Alan Ayckbourn have convincingly proved, but the mother of all family meltdown dramas must be Thomas Vinterberg’s Danish Festen, a Dogme 95 film made in 1998. Soon after, this was turned into a stage play by Vinterberg and Mogens Rukov, which had an outstanding success in David Eldridge’s version here in 2004. Now a Romanian theatre company, Nottara, from Bucharest, bring their version to London.

Highly finished literary tales of doomed nixies, like Hans Christian Andersen's The Little Mermaid, seem to have prompted reams of bad art but plenty of mellifluous music. Not even all of that is on the same level. Viennese late-Romantic Zemlinsky's loose-limbed three-part Andersen homage has long floated in a limbo somewhere below the more curvaceous forms of Dvořák's Rusalka and Sibelius's The Oceanides, and not just because of unfavourable historical circumstances (the composer withdrew the work after its 1905 premiere, and it did not resurface until 1984).