Krigsmuseet, formerly Tojhusmuseet, fills the old royal arsenal with weapons, uniforms, armour, and exhibits on Denmark's military history. The collection dates back to the early 17th century and is strongest on the long development of firearms and the Danish state at war.
It sits close to Christiansborg, making it an easy addition if you are already on Slotsholmen. The museum is especially good for visitors who like material history: rows of weapons, ship models, and armour tell the story more directly than long panels would.