Bornholms Kunstmuseum
Perched atop the dramatic stretch of cliffs called Helligdomsklipperne is this light-filled museum with a permanent collection mostly focused on artists with a connection to Bornholm. Though the art is beautiful, the architecture and surroundings are as much of a reason to visit. Make sure to walk down to the coast after visiting the museum; the walk from the museum to Gudhjem is one of Bornholm’s most spectacular hikes. You can get aboard the lovely MS Thor, which cruises between Gudhjem and Helligdomsklipperne in the summer months, and sail back.