Skandinaavia:

http://www.tntmag.co.uk/travel/s/scan.htm
Information about Finland, Denmark, Sweden and Norway. Prices, destinations etc...

http://travel.yahoo.com/Destinations/Europe
Links to all European countries.

Finland:

http://www.mek.fi
Finnish destinations, events, cities, maps etc. provided by the Finnish Tourist Board.

http://www.lonelyplanet.com/dest/eur/fin.htm
Practically all information you need about Finland.

Denmark:

http://www.dt.dk
Danish tourist bureau.

http://www.lonelyplanet.com/dest/eur/den.htm 
Lonely Planet's guide to Denmark, very thorough.

Sweden:

http://www.travelnotes.org/Europe/sweden.htm
Many links to information about Sweden.

http://www.lonelyplanet.com/dest/eur/swe.htm
LonelyPlanet's thorough guide to Sweden.

Iceland:

http://www.lonelyplanet.com/dest/eur/ice.htm 
Lonely Planet's thourough guide to Iceland.

Norway:

http://www.lonelyplanet.com/dest/eur/nor.htm
Lonely Planet's thorough guide to Norway.