Norwegian is the most efficient language to learn. It's right in the middle between danish and swedish (written norwegian and danish is almost identical, but the norwegian pronunciation of the words is closer to swedish than danish).
The only decent learning system I know for danish is this:
https://www.duolingo.com/
Then you should also try this:
http://www.interpals.net/. A good way to use what you've learned in practice.
The only language I have tried learning on my own is Japanese. For that I used Rosetta stone, various other language websites, youtube tutorials, watched a lot of japanese movies, used smartphone applications, then I looked up the curriculum of formal japanese classes and got the books they used. And probably more than that. And it has taken a long ass time compared to other languages I have learned (2 years now, and I'm far from fluent).
What I'm getting at is that learning a language on your own is difficult, but it's almost impossible if the language you're trying to learn is from a very different language family than your native tongue. As such it requires a certain amount of dedication, because it can quickly get boring when you improve so slowly. I hoped that helped a little. Good luck. Or should I say "Held og lykke" (danish) or "Lykke til!" (norwegian)!