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Lebara Mobile Denmark APN Settings for Android, Nexus, HTC, Samsung Galaxy.

Go to Menu -> Settings -> Wireless & networks-> Mobile networks -> Access Point Names -> New APN and enter the following details.

Internet Config:
Name : Lebara internet
APN : internet.lebara.dk
Proxy : <Not Set>
Port : <Not Set>
Username : <Not Set>
Password : <Not Set>
Server : <Not Set>
MMSC : <Not Set>
MMS Proxy : 212.88.64.8
MMS Port : 8080
MCC : 238
MNC : 02
Authentication type : <Not Set>
APN Type : default.

MMS Config:
Name : Lebara MMS
APN : mms.lebara.dk
Proxy : <Not Set>
Port : <Not Set>
Username : <Not Set>
Password : <Not Set>
Server : <Not Set>
MMSC : http://mms.telenor.dk" onclick="window.open(this.href);return false;
MMS Proxy : 212.88.64.8
MMS Port : 8080
MCC : 238
MNC : 02
Authentication type : PAP
APN Type : mms

I am using a huawei vodafone 858 android mobile phone and the above apn settings for internet have not worked for me. After calling the very helpful customer service of lebara in denmark the following apn settings did the job:
Name: Lebara internet
APN: internet
Proxy: <Not set>
Port: <Not set>
Username: <Not set>
Password:<Not set>
Server:<Not set>
MMSC:<Not set>
MMS proxy:<Not set>
MCC: 238
MNC: 02
Authentication type: none
APN type: default

For the novice user I have written a more detailed guide:
How to buy a prepaid sim card at copenhagen airport and set it up: