Connection in Europe is very easy, by plane, by car, by train, ... I normally travel by plane but I've travelled by car to Denmark and France. The only downside with travelling by car is that you best avoid the city's, you don't want to drive in Paris trust me :) it's every man / women for him or herself :)
My favorit means of transportation is by plane. It quick and easy. But if you plan on visiting several countries in a row, you best take the train. You have night trains so it's low cost :)
I hope this information was what you needed :)