The unicode people have addressed this with the Unicode Collation Algorithm - http://www.unicode.org/reports/tr10/ - which obviously can't be perfect, but it can be reasonable.
The ICU project - http://site.icu-project.org/ - has open source implementations of the collation algorithm including appropriate information for different locales. ie you shows those Danish names to a Danish user in their expected sort order, while also showing them to an American in their expected sort order.
i18n and l10n is hard. But it is also largely solved fairly well, and there is no excuse to avoid it all together or not use the ICU code.
The ICU project - http://site.icu-project.org/ - has open source implementations of the collation algorithm including appropriate information for different locales. ie you shows those Danish names to a Danish user in their expected sort order, while also showing them to an American in their expected sort order.
i18n and l10n is hard. But it is also largely solved fairly well, and there is no excuse to avoid it all together or not use the ICU code.