May I recommend you the following Danish Sax players:

Jakob Dinesen
Per Goldschmidt
Mads Hansen
Anders Lindskog
Lars Møller
Christina Nielsen
Simon Spang-Hansen
Hans Ulrik
Karsten Vogel
by the way: Bob Rockwell seems to
play mostly in Denmark now.

and the guitar players:
Pierre Dørge
Jacob Fischer

 Piano players:
Thomas Clausen
Carsten Dahl
Jan Kaspersen
Ole Koch Hansen
Fini Høstrup
Lars Jansson (A swede but he is part of the Danish Jazz community I believe)
Kenneth Knudsen
Niels Lan Doky
Erik Ørum von Spreckelsen

Singers:
Helle Hansen
Ulla Henningsen
Marie Carmen Koppel
Katrine Madsen
Cæcilie Nordby
Ane Ramløse