What is remarkable about Denmark is that it saved almost all of its Jews. The first time I heard about what Denmark did and other stories of similar courage and sacrifice was at the Holocaust Museum. It's top floor is dedicated to the liberation of the camps and the aftermath of the Holocaust.
"A recurring theme is the issue of individual responsibility toward fellow human beings in danger. Thousands of courageous non-Jews risked death or imprisonment to save their Jewish neighbors, and othersJews and non-Jewsjoined in the underground war against the Nazis. Still others joined the killers, becoming perpetrators or enablers of genocide. The vast majority of Europeans, however, were bystanders who did little to deter the Nazis or to aid Jews or other victims of Nazi persecution. Highlights of this floor include the activities of French villagers in Le Chambon-sur-Lignon and the surrounding region to hide Jews, the Danish rescue of some 7,000 Jews, and the actions of the American War Refugee Board and Raoul Wallenberg to save Jews in occupied Europe."
http://www.ushmm.org/information/exhibitions/permanent/floor-2
One of the stories that I read on that floor that stuck with me was the one about a very beautiful young woman who worked as the housekeeper of a Nazi officer. She had the courage to hide several Jewish people in the officer's own home. Eventually he found out and gave her a choice, to become his lover or he would send these people to the camps. She sacrificed herself by becoming his lover and thus saved the family. It's the kind of story that operas are made of; I don't know if I could have had the courage to do what she did.