In the Stamford Bridge start (15 September 1066), Denmark is one of three larger countries in Scandinavia. It has a number of advantages, notably two choice provinces in the royal domain (Sjælland and Skåne) and easy expansion opportunities into pagan lands to the north and especially the east. Norway begins the game with considerably more troops (roughly 9000 to 2000) because of the set-up for the Norwegian invasion of England, but Sweden is noticeably weaker both in troops and because it suffers from a severe religious split between Catholic and Old Norse with the king and his largest vassal on opposite sides of the divide.
England itself is stronger than all three Scandinavian countries once you get past the boost Norway gets at the start of the game, and of course William the Bastard is stronger still so it's essentially out of the reach of the Danish king at first. However Svend also has a precious claim on England, which can be nursed for the best part of a century if he has a son or two late in life.
Denmark is also has an elective kingship and King Svend has six living adult sons and four younger sons (not counting one bastard not of the dynasty). This is a major strategic advantage for a rapidly expanding kingdom, as each can be made a duke in newly conquered areas. Several branches of the family can be founded, making it possible to choose the best candidate in each generation and avoid poor kings. Even if one can't get the nobility to vote for one's preferred candidate, they'll end up selecting someone from your dynasty and the game can go on.
Denmark's main Achilles heels are a shared border with the Holy Roman Empire, and the potential power of the Poles to the southeast. Both rivals need to be kept in check.
The goal of this game is, simply, to play Denmark and see where it takes me. However my two main subsidiary goals are to control all of the Baltic Coast and to reunite the lands controlled by Cnut the Great (the so-called North Sea Empire, which is Denmark, England, Norway, and the county of Uppland in Sweden). Having played this general area before, however, I know that these goals can be accomplished within a century if lucky, and probably no more than two unless very unlucky. To slow me down I'm going to never assign a duchy to anyone but a member of my dynasty, and never give a second duchy to anyone other than my current self (though of course the AI characters may manage to pull it off on their own via plots and internal wars).
This game has been played under 1.05c, and I won't upgrade until its finished -- either 1453 or I get bored. As of this writing I have made it to July 1131 and the start of the Second Crusade.