Den Grå Hal (The Grey Hall) is located in an area of Copenhagen called "Freetown Christiana", which has basically declared itself to be free from the laws of Copenhagen and of Denmark. Similar to Amsterdam in some ways. A motto of theirs is painted on a wall - "Say No To Hard Drugs".
The building was originally built to exercise the horses in during the winter months. When they tore your ticket stub upon entry, they gave you a plastic cup to pour your beer into, so you could bring it in.
Show price was Krone 150.00 + gebyr (about $20 US).