Out in the big world he's known as Denmark, but back at home he's known as Sjælland (Sealand/Zealand, but has nothing to do with New Zealand). He's the head of the household (has the goverment), and the wildest of the four. He's open minded (not much to people with dark skin though, but still more than the others), promiscuous, and self important. Has a tendency to look down at the others and doesn't like Jylland much, whom he consider slow and boring.
Jylland (Jutland) in turn doesn't like Sjælland either, and often calls him a Swede or Devil Island. He's a hard worker who doesn't say much and enjoys nature far more than Sjælland. He is very practical and has very few things that are just meant to be pretty. He loves porcelain figurines though.
He has a love/hate relationship with Germany as well because he lost a lot of land to Germany, but at the same time often visits him for a drink.
Fyn (Funen) is often caught in the middle of Jylland and Sjælland's fights, though she prefer Jylland. She's very sweet and nice, but is often mocked by the others for being unimportant and kinda geeky. Other times they just forget her completely.
Bornholm lives by himself on the other side of Sweden. He may be the smallest, but he is considered the best looking, and though Sjælland sometimes calls him a "backup Swede" he also absolutely adores him and has lovingly named Bornholm "Pearl of the Baltic Sea". Bornholm is a tough little guy who has fought off both Sweden and Russia, and it's a big part of his identity that he chose to be Danish, unlike Iceland, Faroe Islands and Greenland.
These are just the main four. There's also Lolland and Jylland could be three characters.
I know people will now ask me to draw the different regions of their country, but I suggest you do it yourself, as you probably know the regions and the stereotypes better than I ever will.