His latest film is something of a departure. Valhalla Rising, which premiered at this year's Venice Film Festival, is a Viking adventure filmed in the Highlands and stars Denmark's Mads Mikkelsen (Bond's testicle-torturing nemesis in Casino Royale) as a one-eyed killing machine whose escape from slavery takes him to the New World, and a higher purpose, in 1100AD.
Unlike Braveheart – in which Ireland doubled for Scotland in some scenes – the 3.7 million movie was shot entirely north of the Border, with some locations even standing in for foreign shores.
"With the help of Scottish Screen," reveals Karen Smyth, the film's producer, "we were able to convince overseas financiers that the whole film could be shot here, and that the Scottish landscape is so diverse that our hero could convincingly re-emerge into another country without the crew leaving Scotland."
"We were in Glasgow for four weeks," adds Refn, "and then spent four weeks up in the north-west, up near Skye, up near the ocean. Scotland's like a nature park. It's God's own production design."
There were limits to what could be achieved, however. The sea voyage that takes One-Eye, as Mikkelsen's character becomes known, and a band of grizzled Christians to claim Jerusalem for Christ, had to be shot inside a warehouse in Glasgow. It was a horrendous experience, recalls Mikkelsen, who, along with local talent such as Jamie Sives and Gary Lewis, spent days breathing in smoke used to simulate fog. But Mikkelsen, who professes a passion for radical film-making, is not complaining. "It was tough for everyone," he says matter-of-factly.
Mikkelsen knew, having worked with Refn on the Pusher films, that making Valhalla Rising would be hard from the outset, and that he would have to be in shape if he was going to survive the director's quest for authenticity.
"I needed to have good stamina," he says, "because it was going to be very challenging." A knee operation prevented him running, so he cycled to get fit, and create the image they were after. "We didn't want me to beef up and look like a bodybuilder because, obviously, the food these people were eating was not that healthy. So we went for that skinny, half-dead, half-alive person look."
When filming hit the hills, during the summer of 2008, the crew and actors would drive out into the countryside for an hour each day and then walk for another hour to the location. Mikkelsen recalls: "I had one eye, I couldn't see anything, and it was just holes everywhere, and everybody was just struggling. And once we'd get there, you'd take your close-up and start fighting."
They would fight for eight hours, without the use of body doubles, he says: "Nicolas doesn't work like that." They had practised some moves in a gym with a stunt co-ordinator prior to filming. But when they got to the mountain location where the film's punishingly brutal opening scenes take place, they found themselves bogged down in mud and unable to perform as rehearsed.
"They didn't work," says Mikkelsen. "We couldn't even lift our feet. In half a minute you couldn't breathe any more. We were struggling."
In the film, the fighting is barbaric, not balletic. A skull gets crushed, a neck snapped, a face pummelled – John Woo it ain't – all within the opening minutes. "It's deliberately not cool karate," says Mikkelsen, a Bruce Lee fan. "We wanted this guy(One-Eye] not to be a superman. You can knock him down, and you can keep knocking him down, but he will eventually bite your throat out. So you'd better run."
A former dancer and a sports nerd, he is used to physical effort, but Valhalla Rising took him into new territory. "It's something you can do for two, three or four days, then it's OK. But when you're 43 it's not so OK," he says with a laugh. "And it wasn't three or four days, it was every day you had to get up and do the same thing. So it was very, very tough and draining. It was the most challenging physical film I have ever done."
Adding to their woes was the midge population which would sometimes obscure the actors' faces so completely they could only shoot, according to Mikkelsen, for ten seconds. "Everybody else was wearing survival gear, nets, and the actors weren't, obviously," he grimaces. "So we were covered in midges." On a couple of occasions, some of the wee critters even got stuck under the prosthetic make-up covering the actor's left eye, leaving him "rubbing and squeezing it all day long".
If this all makes Mikkelsen's time in Scotland sound like a horror story, it was far from it. The actor, who recently completed work on a big-budget remake of Clash of the Titans, laughs as he recalls staying at a "Fawlty Towers kind of place" near Loch Ness, where the landlady would not do anything without complaint. "Every time you'd order something, like a bottle of water, she'd be like, 'Oh, water… Why?' But she was very, sweet," he smiles, "and we got to know her well, but she was one of the types that was the mother of the house, not your servant."
He has fond memories, too, of the Scottish people, whose similarities to the Danes, he says, meant he felt very much at home. "We're much of a family, and it's very, very easy to integrate. We have the same kind of humour, we can laugh at ourselves, and you can drink a lot. Which is also good. So even though it was tough, it was a great experience."
Valhalla Rising premieres at the London Film Festival on 22, 23 and 24 October.
AN A-Z (almost) of Scottish movie locations
Ae Fond Kiss (2004)
A Muslim and Christian love affair set in Greenock and Glasgow.
Mostly shot in Ireland, but Glen Coe and Glen Nevis also feature.
Charlotte Gray (2001)
Glenfinnan shown before Cate Blanchett leaves to fight Nazis in France.
The Da Vinci Code (2006)
Tom Hanks visits Rosslyn Chapel.
Duart Castle, Mull, stars with Sean Connery and Catherine Zeta-Jones.
From Russia with Love (1963)
Crinan and Lochgilphead feature in chase scenes.
Turns out Tarzan lives at Floors Castle.
Harry Potter and the Prisoner of Azkaban (2004)
During a shoot in 2003, sparks from the Hogwarts Express set 100 acres of heath ablaze near the Glenfinnan Viaduct.
The Jacket (2005)
Adrien Brody loses his mind at a former mental hospital near Broxburn.
Local Hero (1983)
The famous red phone box at Pennan harbour was actually a prop.
Mission Impossible (1996)
The train and helicopter chase was filmed on the Kilmarnock to Dumfries railway line.
Ring of Bright Water (1969)
A man and his otter have adventures around Seil Island and the Firth of Lorne.
Shallow Grave (1994)
Ewan McGregor, Kerry Fox and Christopher Eccleston lose the plot in Edinburgh.
Even on Rannoch Moor, Renton reckons it's "sh**e being Scottish".
Jet Li opens a can of whup-ass on the streets of Glasgow.
The Wicker Man (1973)
Iconic human sacrifice scene filmed at… Burrowhead Caravan Park, near Whithorn.