But when he's not playing the complicated role of Jaime Lannister, Coster-Waldau says he and his "Game of Thrones" co-stars and staff are quite the pranksters behind the scenes.
"So I wrote [creators and writers Dan Weiss and David Benioff] this long letter where I pretended [to be] like a diva, saying, 'Listen guys, I just feel as an artist I'm being left out. And I need my own integrity. I have to take control of my character. Because Jaime is a soldier, I want him to have a buzz cut, so I'm going to go ahead and do that. And I hope you respect me as an artist that I have to do this. I'll send you a picture when it's done.'"
Coster-Waldau, 45, said he then waited until the next day and sent Weiss and Benioff a photo of him almost completely shaven from a 2009 TV show pilot he had done called "Virtual Reality."
"It was amazing. It was a beautiful moment. I got them. I got them really bad."
"This was season three. He got a script, and they said he was caught up in a fire. He survives, but all his lips are melted off, so from now on all he has is just this grin on his face. And Kit believed it," he recalled.
"He was like, 'OK, I'm going to have to make this work. I mean, it's all right. It's going to look weird, though.' And the makeup artist said, 'We're going to have to make this prosthetic. It's going to be quite big. It's going to take at least four hours to put on.' [Harrington said], 'Oh all right, OK. That's great.' But of course he walked on set, and they couldn't – they started laughing."
Now that "Game of Thrones" is in its sixth season, this is the longest Coster-Waldau has ever portrayed a character. But when he first told friends about getting the role of Jaime Lannister, they didn't think it would last long.
"When I got ["Game of Thrones"], I told friends, 'I'm doing this HBO show,' and they go, 'Wow, that's amazing. What's it about? Is it like gangsters? What is it?'" he recalled. "[I said], 'No, it's about dragons. It's about fantasy.' And people went, 'Oh, OK. Good luck with that.'"
It has been a challenging role for him to play, but Coster-Waldau said he welcomes all obstacles, such as having to act without his right arm after Jaime Lannister lost his.
"In the beginning, it was a pain in the butt. I had to sometimes hide my own arm in the backside and you had the stump in the front, which was the prosthetic," he explained.
"Now you have this gold hand, which is basically a golden metal glove that I put on, so it's not too bad."
Coster-Waldau said that now that the show has moved passed the book series written by George R. R. Martin, it's a level playing field for everyone.
"And I think reading the scripts for season six, I thought it was the strongest season of all of them," he said.
Watch the full interview with Nikolaj Coster-Waldau with Peter Travers on ABC News' "Popcorn With Peter Travers" above.