Conveniently a small one track railway, Hornbækbanen (http://www.lokalbanen.dk/...), runs right along most of the coast between Elsinore and Gilleleje - a journey of 40 minutes - the trains continue onto Hillerød after a brief stop. Departures every 30 minutes between 6-18, and every hour between 18-23. It uses the same tickets as the rest of the public transportation system.
During the summer season an old steam train occasionally runs to various destinations in the area, the schedule varies greatly so check with one of the tourist information offices for details.
