I watched this for the first time last night and enjoyed it. I haven't seen series 1 but I think it's possible to start watching at series 2 and not be completely lost.
I also watched The Killing series 1 last week and actually prefer that to Borgen so far (but that's probably because I prefer murder to politics
) Interesting to see two actors from The Killing turing up in Borgen.
The Danish language is nice to listen to. Sometimes, when watching a subtitled programme, I can find the original soundtrack a bit annoying (there are a few languages that I just don't like the "sound" of). But Danish has a pleasing "sound" and a lot of words seem quite similar to Dutch and German words.
Fnally, I was amused by the title of Episode 2: "In Brussels, no-one can hear you scream." So true!