The museum is a short walk from the main square and well worth the detour. The permanent collection covers Danish public art from the 20th century to now, with particular strength in post-war monumental sculpture. The temporary exhibitions tend to be thoughtful and tend to ask good questions about who gets to shape shared space.
The building itself was designed around the idea that art should flow between inside and outside — the garden holds several large pieces, and the connection between the indoor galleries and the outdoor works is well done. If you have any interest in how art functions in cities, this place will hold you for a couple of hours.