The census records and parish records at the links posted by Joec03 are also the basis of most of my research (will have to check out that emigration link!)

You'll definitely want a genealogical word list like this one: http://www.familysearch.org/Eng/Search/rg/Guide/WLDanish.asp

I'd suggest starting with more recent records so that the hand-writing and Gothic script are not as much of an issue while you get to know the common words. I have a print-out someone gave me on Gothic script, but you can probably find something similar on-line.