There are several ferry lines linking Bornholm to the continent, but the commonly used by foreigners is the one that links Ronne with Ystad, in Sweden, in about 75 minutes.
The other internal line, to Kogen, takes more than 6 hours and is only made overnight.
There are also lines to Poland and Germany.
To go to Ystad you may do it by car (using the Oresund bridge), by train, or by bus from their stations in Copenhagen.
If you come from the south, like me, be careful about your meals' time.
I arrived at Ronne airport about 8.30 PM and almost lost dinner.
The restaurant in my hotel closed at 8.00 PM(?) and I had to run to Marriott, closing one hour later - I arrive 5 minutes before closing time and had a good expensive dinner.
A few days later, in Nexo, I had trouble finding a restaurant at... 7.00PM.It's important to go up north to really appreciate our lively south, where you may eat almost 24 over 24 hours.