Scandinavian Airlines has round-trip flights from Chicago (ORD) to Chicago to Copenhagen, Amsterdam, Gdansk, Stockholm, or Oslo (CPH, AMS, GDN, ARN) for $375-$398. Flights November to March. No Thanksgiving dates.
Copenhagen is the only NONSTOP flight. Other destinations have a connection (usually in Copenhagen, since that’s the SAS hub-city).
Some small OTAs on Skyscanner and Google have this for cheaper than the airline. If you plan on booking there, beware of any site that charges a fee to cancel a ticket within the 24-hour “free” period. Use unknown booking sites at your own risk.
Carry on bag with a maximum weight of 18 lbs is allowed for free on SAS. You can avoid seat selection fees by accepting the randomly assigned seat at the gate. Upgrading to a higher fare class that includes a full-size carry-on bag for about $35 may be cheaper than booking the discount fare with the added carry-on bag fee (for about $70).
Click for more details and booking links Cheap Flights: Chicago to Copenhagen, Amsterdam, Gdansk, Stockholm, or Oslo $375-$398 r/t [November-March] (No Thanksgiving) – Scandinavian Airlines