Ideally, you want to attack excommunicated factions.
Do watch your eastern border as the Poles & Hungarians have a nasty habit of waiting until the worst possible time to attack. It is entirely possible that the Pope will be less than delighted with your beligerence so you will need to satisfy him to an extent. With a foothold gained in Normandy and a reasonable economy in the British Isles, the time is now set to begin the serious expansion south. You could also look to expand across the Baltic but the provinces & cities there are as poor & under-developed as your Scandinavian towns and will take much investment & time to bring them up to a useful size. Taking Caen will then eliminate the English and you have two less Catholic factions to contend with. London can be taken first with a powerful army and with skill (& use of spies), the entire British Isles can be yours in a small number of turns. Indeed, you have to expand through the British Isles to make real progress as the Danes. Another approach is required and the Viking past should be inspiration for the required path.
At this point, your economy will be very under-developed and it will be hard to fight a war of attrition with the powerful Holy Roman Empire. The Holy Roman Empire will pose a barrier to your further expansion. They can expand safely into Scandinavia and also take the provinces south of Arhus and then you hit a problem.
The Danes are the descendants of the Viking raiders who terrorised Europe for centuries until conversion to Christianity quelled their aggressive instincts.