Mads Mikkelsen and Nikolaj Lie Kaas had both previously worked with Anders Thomas Jensen on Flickering Lights (2000). They've appeared in all of Jensen's films since then.
Mads Mikkelsen actually cut his hair in that silly way because it was easier than the hassle of working with a wig prosthetic. He then would wear hats until the rest of the filming because he looked like "an idiot".
Mads Mikkelsen famously went on to play Hannibal Lecter, a cannibal chef, on the TV series Hannibal (2013).