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Denmark is the connection between Scandinavia (specifically Sweden) and Europe (primarily you). Also it has the region that is used to block off the Baltic Sea-North Sea connection. It is tactically a high value target. It blocks Britain to deliver naval help to Poland, it blocks the Soviet Union's Baltic Fleet from leaving the Baltic Sea. Also, the fact that several waterways split the islands and the peninsula from each other makes the country easier to defend (also bear that in mind when invading Denmark). Denmark is a so unnecessary target from bounty standards that just inviting the country into the Axis will make no difference at all.
You should not go to war with Finland at all, because they can be valuable partners against the USSR. But if you want to go there anyway, first invade Sweden and/or Norway, then go for a land invasion. Supplies into Finland are not the nicest of things, but should be offpullable if coming via Scandinavian neighbours. An invasion from the USSR is of course also possible, but that would require a very interesting order of targets to say the least.