I moved from Switzerland to Copenhagen in 2005 but there is not much wet shaving related to find in the city. IMO.
Some new barber shops are popping up here and there in the last 2 years, mostly with arabic background.
There is a cosmetic chain called Matas, you find these everywhere on highstreet locations. They have a farly OK unscented shaving soap and 1 or 2 beginner brushes in their range. As far as I know, thats it.
Marco