While on our walking tour of Copenhagen, we visited the Royal family’s residences. They’re right in the heart of the city, and you can walk around the outside of them. You can get up really close, and no one minds. There is, however, a lightly painted line; if you step across it, one of the soldiers will yell at you. Go figure.
I call the photo below “shy soldier”. It took a few minutes to get a shot of the soldiers, as they move quite a lot – marching back and forth in front of one of the residences.