What you are looking for is called the Nordic countries.
http://en.wikipedia.org/wiki/Nordic_countries
The Nordic countries are a geographical and cultural region in Northern Europe and the North Atlantic. It consists of five countries (Denmark, Finland, Iceland, Norway and Sweden) as well as their autonomous regions (the Åland Islands, the Faroe Islands and Greenland)
http://en.wikipedia.org/wiki/Scandinavia
Scandinavia[a] is a historical and cultural-linguistic region in Northern Europe characterized by a common ethno-cultural Germanic heritage and related languages, which includes the three kingdoms of Denmark, Norway, and Sweden. Modern Norway and Sweden proper and also northern parts of Finland are situated on the Scandinavian Peninsula, whereas modern Denmark is situated on the Danish islands and Jutland. The term Scandinavia is usually used as a cultural term, but in English usage, it is occasionally confused with the purely geographical term







