Copenhagen is absolutely fantastic this time of year, and will be a nice break from the heat. KLM's got some good offers going at the moment; around 200BD for a return on monkey.
Go sit in Nyhavn and enjoy a cold Tuborg, have a stroll down Stroeget and let the wife melt some plastic, see Tivoli in the evening for a spot of romantic dining. Hire a car and have a drive around the country side. You'll have a blast mate, but do bring plenty of dosh.
3* hotels in CPH are around 700DKK/Night. A beer in Nyhavn is around 40DKK. A night in Tivoli with a nice dinner will set you back around 1000DKK for a party of two. Hardly cheap, but we gotta spend them petro-dollars one way of the other, right?