Thomas G.
Yelp
This traditional concert venue is right in the heart of the old blue collar neighbourhood of Vesterbro. Of course, Vesterbro is now more hipster than blue collar, and Vega matches that. It started its life span as an assembly building for the unions, but now it houses two concert venues Lille Vega ('Little Vega') and Store Vega ('Large Vega').
None of the concert halls are huge, so work well for a more intimate feeling, compared to larger places. This works great for both singer-songwriter style concerts, where the intimacy makes the connection to the audience that much stronger, and rock and r'n'b concerts, where you get a real down-and-dirty, sweaty concert feel. I've been to both types, and it works.
It's nice that the "lobby" area outside Store Vega has a bar, so you can head out here for a drink and away from the crowd and the music, if either becomes too much for you. Or as a place to hang out during the warm-up gig, if fails to impress.
What works less well is the logistics of the place. Coat checks are inefficient, even if they poor people behind the counter try their best, and toilets are too few, and too dirty. And in spite of this being smaller concert venues, and indoors, so theoretically easier to mike up for optimal sound, I've too often found the sound to be a disappointment.