Denmark specifically because that is where I have a residence permit and my wife lives. So basically no hotels/travel costs. That is the only real reason. If I have to go to the UK then no huge deal. But if I can cut costs then all the better.
I considered doing it in DK but the cost was too big a disadvantage. Nearly 5x more for the ATPL theory alone vs. the UK; plus the exams are more expensive than in the UK. Do your homework before making a decision.
Thank you for the info. It seems to me the UK has the most well defined process for converting an FAA ATP to the EASA ATPL. If the costs are more favorable there then clearly I will head over there for the exams.