Bornholm is the sunniest spot in Denmark by a long way — about 1,900 hours of sunshine a year, against 1,500–1,700 for the rest of the country. The high season is July and August, when the smokehouses are open every day, the buses run frequently, and the town is full of Danish and German holidaymakers. It can be busy but it is rarely overwhelming.
May, June and early September are the sweet spot — long days, mild temperatures, and the cliffs and beaches mostly to yourself. Winter is genuinely cold, dark and quiet; many of the smaller museums and restaurants shut down between October and April, and ferries run a reduced schedule. The Folkemødet — Denmark's annual "people's political festival" — takes over Allinge in mid-June and books up Rønne too.