What is the best way to go from Copenhagen to Stockholm?

I'm going to Copenhagen in June 09 and I have been told that flying between the two cities is cheaper but I am not sure what other means of transport are available like train etc. But will I really miss something if I take a plane rather than a train or a coach? Are there good sights on the way that I can only see if I take the land route? Is train/coach journey more enjoyable?