To say which Scandinavian country is best to visit is difficult as all of them have its own unique quality but I can say that Stockholm was my favorite city, followed by Bergen and Copenhagen. All three cities have one thing in common which I find comfortable and it is the scale of the city in relationship to the people and its daily activities.
Helsinki was okay but it might have helped change my mind if the weather was better, however it is an interesting city in comparison to its Scandinavian neighbors. The city doesn't have the many tall conical shape church towers like Stockholm or Copenhagen, nor does it have the Scandinavian / Viking architectural influence and motifs just because it was not part of the Viking culture. In fact, Finnish itself is a completely different language from Norwegian, Swedish and Danish. From Helsinki, I took a side trip to Talinn, the capital of Estonia and one of the Baltic states. It was only a 2 hour ferry ride between the two cities. The old medieval city of Talinn is charming and is listed under the UNESCO heritage list. It is a city for those who like to go back in time and experience an old medieval town and enjoy the history and culture.
Oslo was my least favorite city not because it has the least to offer but my accommodation and safety within the city limits gave it the lowest point.
My highlight of this trip was taking a side trip off my planned route to a small fishing village in the Lofoten Island. Stamsund is still a busy fishing community and like all the rest of the Lofoten, winter is the prime fishing season and that's when the whole island comes alive. However it is not to say that summer is dead and boring, the tourist help keeps the island alive. But Lofoten is best when it is quiet and uncrowded as it helps one enjoy the magnificent landscape it has to offer. Like a step back into the mystical and fantasy period of the writings by Tolkien, Reine was my favorite part of the island and the most picturesque.
The other "high-light" was of course taking the long hike up the high mountains to watch the midnight sun. It wasn't a bright and sunny day but it gave a spectacular light show that night or should I say day, as night doesn't really exist above the Arctic Circle line during the summer season.
It has been a great journey so far but there have been some downside to it as well, mainly frustration, poor or careless planning and other unexpected situation that was out of my control. If it wasn't so expensive, I would recommend going to Norway, but a visit to Sweden and Denmark will provide you a true Scandinavian experience. However, don't forget about Iceland. It is also part of Scandinavia and my visit there in 2005 was an amazing weekend. I think the currency exchange rate has probably lowered the amount of tourist going there, but if the opportunity arise, Iceland is a must to finish or start your adventure in Scandinavia.