Perhaps the German Army had made plans to invade Norway and Denmark even before WWI. They might have not put them into action because they were in a 2-front war.
I wouldnt be surprised (especially in the case of denmark), although the plans for norway might be more for war with Sweden, given their recent union...
An Entente attack on Denmark also has a fair chance of dragging Sweden into the war on way or another. IIRC they were generally seen as favoring the Central Powers, and Russia was quite concerned the Swedes might attempt to regain Finland, to the point were one Russian admiral advocated a pre-emptive strike against Sweden. An attack on Denmark might be enough to bring Sweden in, or convince Russia to launch their preemptive attack.
Good point. I'm not sure if Russia would immediately intervene (it depends on the timing of it all), but Sweden may very well side with the Central Powers in reaction to an invasion of Denmark. Does russia invade sweden? Does sweden invade finland (for that matter, would the finns accept renewed swedish control in a parallel Brest-Litovsk?)?
Suddenly, the Baltic is a lot more interesting...
I seem to recall the fact that the US and Canada had plans for invading each other being fodder for quite a few discussions. Making contingency plans for invasions is one of the big things General Staff planning departments do; I wouldn't be surprised if the current US General Staff has plans for invading every country on Earth and a couple of plans for defending against alien invasion.
More than that. IIRC there is (at least) one plan floating around the pentagon with contingencies for fighting ghosts. Plans for all sorts of scenarios have been considered, although most would probably never approach activation (and more than a few possibilities are ignored...).