We will be renting cars in both Denmark and Finland. Can anyone direct me to the least expensive car rental site?

What websites and agencies have you checked so far? Since no one knows how long you want to rent or the type of car you want or what specials an agency might be having you may want to start by doing a search on the Internet for "car rental in XYZ" and see where that gets you.

Try www.novarentacar.com www.gemut.com and www.autoeurope.com We've used all three in Europe with excellent results.

Another good place to start is

www.Kayak.Com

After you enter your cities and dates, it searches major car rental sites for you, then comes back with its choices. You can filter out choices by company, car type, and cost. In effect, you search a dozen major car rental companies with one URL. And there is no extra booking fee; Kayak just directs you to the car rental company site.

BTW, Kayak also works for flights and lodging.

The www.travelsupermarket.com search engine is great for hire cars (and everything else besides. TOP TIP - only pick a hire company with a desk at the airport (etc). Meet & greet services can be unreliable. If you get a no-show, you have no-one to complain to, as I found out the hard way in Budapest recently.