In NYC I can do a normal sit down lunch at $40 multiple times a week, without really batting an eye - whereas that would be painful in Denmark - on the plus side you usually have catered lunch which quality, choice and taste wise is not nearly as good, but significantly cheaper and with it being better for team work within the company.
For health care you should expect longer lines and significant delays in case you have a non-urgent issue; whereas that in NYC is something you can handle easily by setting up an appointment on Zocdoc so that you can see a specialist the next day - with it being covered by your health insurance.
On a NYC tech salary I tend to buy gadgets / items as often as I want, if the cost is below maybe $200, in Denmark that threshold is more like $60.
Vacation policies are generally substantially better in Denmark; and workload also being significantly lower.
Pros and cons
What is it you feel you need to wait for?
Also, in regards to salary: Yes, it's lower overall. But it's still high, especially in the tech sector. I get paid roughly the same as my US counterparts (we have offices in Copenhagen and New York).