There are three ways into the Baltic: the Kiel Canal, the Skagerrak, or the Limfjord. Coming from Scotland or north east England, the Kiel canal would be a long way, and something of a dogleg. The Limfjord is much more sheltered than the Skagerrak, but if you've already travelled 300 miles across the North Sea, you might not be worried about that. It will save you 50 or so miles if you're going into the Baltic proper. However, the Limfjord is well worth a diversion, as it is an excellent cruising area in its own right.
The five harbours I visited are circled in red. Also marked is Ålborg, one of Denmark's largest cities, and Grenaa, a good jumping off point if coming up the Baltic. From west to east, we have Thyborøn, at the North Sea entrance, Nykøbing, Løgstør, Ålborg, Hals, at the Baltic end, and Grenaa in the Baltic itself.
There is some tide at Thyborøn - perhaps a range of half a metre. As a result, there will be some tidal current in the North Sea entrance, but these will drop away quite quickly as you get further in. There can, however, also be quite strong wind driven currents. The pilot books will tell you these tend to flow west to east: when I went through, going east to west, I was lucky enough to have current behind me almost all the way.
These notes are made from my personal experiences of visiting the harbours. I will assume you have the necessary charts and pilot books! Brian Navin's book "Cruising Guide to Germany and Denmark" covers the area well. The Delius Klasing Chart Pack Number 6 is really essential - this is not an area to cruise without large scale charts, and this pack covers the Limfjord and the Jutland coast.
I made the passage in May 2007, and was lucky enough to have good weather [a rarity in that wet summer]. Although the sun blazed down, there was little wind, and I motorsailed much of it. At the time, my plan was to head back to England, and I had rather itchy feet during the passage, which took three days. My overnight stops were at Løgstør and Nykøbing. On the second day, there was a light breeze, and so I sailed this section, which is why it is shorter than the other two legs.
The entrance into the fjord from the Baltic is along a channel surrounded by shallow sandbanks. However, the channel from the Hals Barre light, four miles offshore, is well marked. A chart of the harbour can be seen at the NV-PortPilot website. There are some box moorings, or alternatively you can use the quayside in the north west corner. There is an excellent supermarket not much more than 100 metres away!
It is about 15 miles from hals to Ålborg. The waterway is quite straightforward, deep and free from any hazards. You may meet some commercial traffic. (It also represents the furthest north I have been in the boat - 57ºN, which is about the same parallel as Aberdeen.
As you approach Álborg, the surroundings become more built up, then there is a lifting road bridge, and just beyond it, a rail bridge, which is open most of the time. To indicate you wish to pass through a bridge, you are supposed to fly flag N.

Road bridge at Ålborg
In practice, you follow the locals! Not far beyond the bridges there are three yacht harbours.
It is then about 25 miles to the lifting bridge at Aggersund. This is a tricky stretch: there might seem to be a lot of water, but much of it is less than a metre deep. The channels are narrow and winding, but well marked, and you will need your chart and a good pair of binoculars!

One of the many wind farms to be found in Denmark.
The bridge can be called up on the VHF, and the bridge keeper will tell you the next opening time. About 2 miles beyond the bridge is the harbour at Løgstør. [marinas.com link - a good aerial view of the harbour.]
There are box moorings near the bridge, which is about 500 metres down, or you tie up on the quayside. You may have to raft out when it is busy.
I had a walk round the town, but didn't see anywhere to buy provisions.
After Løgstør, the fjord opens up into a number of quite large lakes. The shortest route to the North Sea is about 50 miles, but there are many diversions worth exploring. Again, a large scale chart will be needed.

Sailing in the Limfjord. The island of Fur is in the background.
There are many small towns and yacht harbours available for an overnight stay in all these lakes.

Above is an early morning picture of the harbour at Glyngøre. In the background is the bridge between the mainland and the island of Mors. The complex of lakes and inlets narrows down at the Oddesund strait, which has a lifting bridge:

Waiting for the bridge:

From the bridge, it is about another 15 miles to Thyborøn and the entrance to the North Sea. The last few miles up to the port are along a long, sweeping and rather narrow channel.
All photographs copyright CNH. Please ask if you wish to use them and please acknowledge the source.