I saw a documentary recently about the early history of my country (Denmark), and they explained how (in the early days) people believed and worshipped spirits, when and how did these spirits evolve into gods? Both on a northern European and a global scale.
Or are gods a modern classification of spirits and people back then had no such distinction between spirits?
This is an excellent question, the answer to which is embedded in definitions - and more importantly the PERCEIVED definitions - of various terms including gods/God. The difference between the "book" religions that diffused from the Middle East and the indigenous belief systems they encountered was profound, making references to the spirits of both constructs as "gods" problematic.
By analogy, it must have seemed appropriate to Northern Europeans to use the indigenous terms related to the English word "god: to apply to the powerful local spirits and then to apply that same term to the Christian deity, but there were profound differences. Some of the local spirits were perceived to be extremely powerful, but omniscience and omnipotence was not normally among their attributes. Believe conceived of them as navigating a supernatural realm where they may have been dominant, but they needed to work with the realities of competitive supernatural players.
By analogy, we may want to think about how the medieval world (or more modern traditional European Christian practices) conceived of St. Peter or the archangel St. Michael when interacting with Satan. None were gods, but they wielded considerable power - and they could be thwarted under the right circumstance.
The idea of the single, all-powerful "God" was a unique intrusion into the supernatural world as conceived by pre-conversion Northern Europeans. They may have had a vague understanding of a powerful prime mover, but their entity, if it existed at all, was removed from the world, unapproachable and largely if not entirely passive. That and the fact that Christianity wielded a written document made Europe susceptible for conversion: the idea that priests could bring a book that described in clear written terms how there was a pathway to reach the prime mover, who was far superior to the local spirits must have been incredibly persuasive. As a linguistic shorthand, the indigenous spirits were often called "gods" but Christians were just as likely to refer to them as demons. The use of the term "god," however, blurs distinctions that are best made when considering the pre-conversion belief system and the Middle Eastern religion it confronted at the time of conversion.