The only remaining underdogs are Denmark, against England it looks like they won't be the favorites to win. I also doubt Denmark's potential for the Final, because in terms of players, England can be said better. However, if Denmark can win it, it reminds me of Euro 2004, where Greece won the title, even though they are not the favorite team to win for most people.
LOL.. I don't agree with your classification of Denmark as the "underdog". If Germany and Netherlands had qualified for the semi-finals, would you call them as underdogs? I am asking this, because Denmark is ranked higher than these teams. But I agree that against England (and that too at the Wembley), the Danes are clearly the underdogs. But the other semi-final match is going to be more exciting (the one between Spain and Italy). It is a battle between two equal sides, who have fielded squads made predominantly of younger players this time. And out of the 4 teams, England is the clear favorite.