I think it must be a setting on my server ... my users on http://sundere.nu don't get the lost-password email ... any ideas on where I should start the trouble shooting?

Does the e-mail tester work?

ACP > Support > Diagnostics > E-mail tester.

Are there any e-mail error logs?

ACP > Stats and Logs > Logs > Email error logs.

What's your outgoing e-mail address?

ACP > System Settings > E-mail setup. Is it @yourdomain.com, or is it using an @gmail / @yahoo etc free mail provider e-mail?

EDIT... Beaten to it by Aiwa.

Wow, I did not even know these options!

1) Tried the e-mail-tester. Did not receive an e-mail.

2) No error logs!

3) I'm using my own e-mail lenka@otap.dk, which is basically an alias for a gmail-account (hosted on another server). I have never really set up the domainname-email. Is that a problem?

I'd bet #3 is the problem...

Mail providers are increasing their rejections if the server sending the e-mail isn't authorized to send e-mail for the domain. That's done using SPF and DKIM records for your domain name.

I recommend looking into setting up e-mail using your own domain name and contact your domain name provider to ensure you have proper SPF and DKIM records which include the server hosting your site.

I think it must be a setting on my server ... my users on http://sundere.nu don't get the lost-password email ... any ideas on where I should start the trouble shooting?

If you are using an email at that domain, you are in fact missing your spf records, talk to your host about properly setting up your spf and dkim records. As Awia mentioned most mail servers will now reject your emails if you are missing the spf record, DKIM helps greatly also.

for the board/site can use mandril also, it will give you the dkim and spf records to enter and takes care of a lot of this server antispam stuff.