One of my favorite places in Copenhagen it Torvehallerne. It is a food market in the centre of the city, where one can buy groceries and fresh products but also have a nice lunch from the various stands. Torvehallerne is awesome because you can visit it whenever, during the summer it is nice to sit outside, people are eating, drinking, music is playing.. and in the winter the two buildings are warm and cozy so it is also possible to enjoy a nice meal there.
My favorite places at Torvehallerne are The Coffee Collective, Gorm's Pizza and Ma Poule. I go there quite often to shop for meat and fish, because the markets are really nice and clean. Also the bakery selection and cake selection is amazing! Definitely a place worth seeing when in Copenhagen!
My tip to you: Make sure to try Miss Wishbone pizza at Gorm's. I love the pizza there, it has a really thin crust and fresh ingredients on top. Secondly, the duck sandwich at Ma Poule is totally worth the calories haha. It is a fresh french baguette spread with dijon mustard, stuffed with rucola and fried duck. And after you have eaten make sure to visit the Coffee Collective, their coffee is amazing and I love their to-go cups!!