From the very first scene that... (spoilers)
From the very first scene that Vagn was in, I knew it was him. The remainder of the 20 episodes were simply trying to convince me the killer was somebody else only to end up being him all along. The show did a good job introducing new suspects along the way, but in mystery shows like this it's always someone who was introduced in the first 1 to 2 episodes.
However, perhaps because I suspected him all along, I'm disappointed in the show's explanation for why Vagn did what he did to Nanna. They spent so long building up other suspects with reasons why they might have done it, but explained very little in Vagn's case. I suppose we just have to imagine him as a twisted person who probably loved Nanna and tried to stop her from leaving Denmark for his own selfish desires. When things got out of hand, he decides to drown her from some twisted sense of loyalty to her parents or perhaps he was thinking "if I can't have her, nobody will." I just felt unsatisfied by his confession at the end. No real remorse or sense that he enjoyed what he had done like a serial killer might. Perhaps it's the actor's fault for not delivering the scene very well. I feel like an extra 2 minutes of him and Theis arguing and maybe a more emotional confession would have ended S01 much stronger for me. But I suppose the writers/producers were satisfied with that scene that way it is, so I'll just have to accept it.
Also, Morten is a goddamn prick. Never liked that shuffling son of a bitch.