If you only do one thing
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In true Scandi style, bathe nude in the cold ocean waters at Ribersborgs Kallbadhus. It’s an old-fashioned wooden structure with lots of tiny changing rooms, saunas and gorgeous views over to Copenhagen. You can stay for as long as you like for just 75 SEK (£6, $7), plus there’s a cosy candlelit café for wine and a sandwich after you re-enter the clothed world.