I moved to Copenhagen from the UK in February and had no problem. You just approached it terribly -- Copenhagen is not in America, and different places have different ways of doing things. You can't just expect foreign cultures to play by your rules. You have to do your research and find out how the locals do it. I got to see several nice apartments and they were decently priced, and am spending approx. 10% of my monthly wage on rent.

"Donating half of my paycheck to the taxman in order to live in a city overpriced by any measure is one thing."

Copenhagen has some of the highest wages in Europe. It also has fantastic levels of social welfare, income equality, universal education and healthcare, etc. Whining about high taxes also just comes across as so bloody stereotypical.