The great danish band playing live in The Art of Crying is The Blue Van. Their new CD, Dear Independence, with some of the songs from the film has just been released in Japan and the US. But it won't be released in Denmark until january. (I bought it in Tokyo - it's really excellent! - psfog).
Check out their website here: www.thebluevan.com
And their myspace site here: http://www.myspace.com/thebluevan
These days they are touring the US. and Japan.