I would say that mostly Norwegians and Danes really get on very well together and cheer for each other to do well. Except off course when we meet, then you have all kind of teasing (About Fjeldaber or Danes not belonging in wintersport since they got injured just looking at a skiing slop etc). It's generally meant more as an inside joke between us, but I guess a few people actually takes it seriously.
But you can find rotten eggs in any basket.
I always cheer for Norway in sports, but I also love when Denmark beats them
and it's always a great laugh to hear norwegian commentators when Norway wins something.
Norway beat England in Football 1981....and Bjørge Lillelien goes amok:
http://www.youtube.com/watch?v=JtbZWIcj0bk