The IT Department's general guide for eduroam is here:
This page here describes how to connect under Ubuntu 9.10 / 10 / 12 - but should be valid for all flavors of GNU/Linux that support 802.1x.
A note on certificates: the implementaion of WPA/802.1x in Ubuntu allows you to connect, even though you do not have a trusted server certificate. A warning dialogue notifies you of this, but you are allowed to accept this potential security risk. It is absolutely necessary to retrieve the certificate through your browser, by going to http://itu.dk/cert/ , store it locally, and inform your WPA/802.1x client of its location, in the warning dialogue. Without the proper certificate, authentication is completely broken - the internal encryption provided by Microsofts MSCHAPv2 is known to be fully cracked (August 2012).
A student has contributed the following guide to configuring wpa_supplicant directly, via command line rather than GUI, which we share here as is - without having checked.