If you make use of someone else's material in your research, you need to be aware of both copyright and good research practice:
If, in your research you make use of personal data, there are some special considerations you should be aware of. You can read more about the treatment of personal data on the Researcher portal in the Data Protection Act and on the Data Protection Agency's website.
You can read more on the Researcher portal which contains a thorough description of a number of legal and ethical issues that are particularly important for researchers. The Researcher portal is developed by the Committee for the Protection of Scientific Work (UBVA) under the umbrella organization, The Danish Confederation of Professional Associations.