It was all so exciting, he completely flubbed the audition. "It was terrible," he says. "Terrible." Afterward, to make himself feel better, he blew a couple thousand bucks on clothes at a Beverly Hills menswear boutique. The next day, realizing there was no way he could afford them, he skulked back to the store—"the walk of shame"—and returned everything.

Chris O'Donnell ended up getting the lead in Vertical Limit. And his movie career fell off a cliff shortly afterward. In retrospect, losing out was a blessing in disguise for Coster-Waldau. And it isn't the only bullet he has inadvertently dodged. Four years ago, he was in L.A. again, testing for another star-making lead in a megabudget sci-fi action movie. This time the audition went great: "There was no way I wasn't getting it. The whole thing just felt right." A few days later, the execs from Disney called him at his hotel. They'd decided he was too old for the lead in John Carter.

Of course, no one knew the film would end up being a spectacular bomb—least of all Taylor Kitsch, the young actor who got the role. Coster-Waldau was shattered, done with chasing Hollywood stardom. Then his agents persuaded him to try one last audition before he went back to Copenhagen. HBO was casting a new series and had sent over a script. "I read it and thought it was an amazing part. But dragons and fantasy? I didn't think that was going to go anywhere . . ."

• • •

"Do you want to see where I am living?" Coster-Waldau says, scrolling through pictures on his smartphone. His house, a late-19th-century fixer-upper, is just down the road from the café, but it's currently uninhabitable. Thanks to all those GoT paychecks, it's undergoing a total gut rebuild. "So we're living in this trailer," he says, showing off a photo of an RV that looks more like a mobile meth lab than a celebrity abode. "Me, my wife, our two daughters, and two dogs are living in 300 square feet. At one point, the wastewater pump got stuck and backed up. I had to put on rubber gloves and basically deal with my own shit. Wait," he says, grabbing the phone back, "I have pictures of that, too."

For a guy who's been on a lot of Sexiest Man Alive lists lately, he seems pretty oblivious to the attention. He says he can't imagine ever straying from his marriage vows—he met his wife, Nukaaka, a former Miss Greenland, when they did a radio show together in 1997—no matter how many women throw themselves at his feet (or how many men ask to photograph his shoes). And make no mistake, women are throwing themselves. The waitress in the café, for example, can't take her eyes off him. She keeps coming back with pork puffs at every opportunity.

"Nikolaj is basically a big goof," says Lena Headey, who plays Queen Cersei, Jaime's sister/lover/baby mama. "He's a big kid. He can smolder one minute and be a total spaz the next. It's incredibly charming."

"He's got a twisted sense of humor," agrees Gwendoline Christie, who plays Brienne, the giant warrior woman who spent most of last season trudging through the mud toward King's Landing with Jaime—along the way, she and Coster-Waldau stripped naked for a bathtub scene that changed everything you thought you knew about Jaime (turns out, he's not such a bad guy after all, incestuous liaisons notwithstanding). "It was very intense, exposing ourselves in the tub," Christie says. "We barely talked all day. And then, after the scene, we slipped into dressing gowns and sat quietly on a bench. For the longest while we didn't say anything. Then Nikolaj took a deep breath and said, 'You're very skinny! But strong!' I wanted to kill him, but I also loved him for breaking the tension."

Coster-Waldau has been around long enough to see the downside of Hollywood-style fame. He got a peek at it on the set of Oblivion, watching Tom Cruise try to carry a $120 million production while Katie Holmes filed for a surprise divorce during filming. "The pressure of having all that craziness around you all the time—I wouldn't want to live that kind of life," he says. "I asked Tom about it. He said, 'It's been like this for 30 years.'"

Coster-Waldau is getting the hang of it. He has already learned not to Google himself. "Oh, no, no, never do that," he says. During Thrones' first season, huge swaths of Internet bandwidth were devoted to debates over Coster-Waldau's nose. It's not a full-blown Owen Wilson, but it is indeed generous—and, for good measure, bent in the middle (he recalls breaking it when he fell off one of those telephone towers in Tybjerg). Hard-core fans of George R. R. Martin's series A Song of Ice and Fire, on which the show is based, were deeply offended by the length of his nose; in the books, apparently, Jaime has a buttonlike pug. "That's when I stopped going online," says Benioff, who cast Coster-Waldau, schnoz and all, after auditioning more than 70 actors.