Nice! Do you think it was worth it?
Personally, yes, but I had other reasons for going; I went to high school for a few years in Copenhagen, so it was partly an excuse to visit some old friends from there.
Also, when do you think would be the best time to go on exchange?
It depends very much on which courses are available at both ends. Most importantly, you want to avoid as much as possible missing courses at ANU that are prereqs for a lot of later courses (though sometimes you might get lucky and there'll be a similar course at your exchange university). You can't really go wrong with going on exchange the semester before you start Honours, as I did, but a lot of people prefer to go in second semester of second year or first semester of third year (while some people doing double degrees go on exchange in their fourth or fifth years!).
Did you do a full course load over there?
Kinda. I did a stand-alone ASC over there that actually counted for twice as many units as it would at ANU, so I was actually only taking two "normal" courses, which suited me fine. I actually went travelling around Europe the last few weeks of term and just emailed assignments in

What was the uni like compared to Princeton? My original thoughts for exchange were either Scandinavia, US or UK.
Impossible to compare; the Ivy League is something else altogether. But you have to bear in mind that there aren't really that many
good universities to go on exchange to from ANU (and by good, I mean close to or better than ANU). In particular, ANU isn't an exchange partner with any of the Ivy Leagues, Stanford, or Oxbridge (except possibly with Oxford for postgraduate degrees, if memory serves). So Copenhagen is one of the best universities you could go on exchange to, the best being Berkeley. In the UK, the best you could go to are Manchester and Leeds, which are decent.