There's no such thing as bad weather, only inappropriate planning. There are plenty of fun activities you can do even when it's raining.
Jump in puddles and see who can splash highest. Make sure you get your wellies really dirty!
Go for a walk in the woods and collect things you can use to make postcards or a scrapbook or poster. And spend the whole afternoon with scissors and glue.
Take turns to tell each other fun stories as you cuddle up on the couch - or visit the library - in Billund Municipality there's a library in almost every town.