Denmark is nice. And small, tiny even. And flat. I like the vibe in Denmark, it's a bit more more laid-back than in the other Nordics. Do visit Copenhagen. Feel the vibe at Nyhavn, and have a beer and a smørrebrød. You can go around Denmark by car. Everything is within a three-hour drive.
Finland is serene. So many lakes. So much forest. So much space and so few people (in the northern parts). The people are actually friendly, as people normally are most everywhere, but there is not much chit-chat and silence is part of the communication. Yes, this is quite a bit like the stereotypical Finnish behaviour as described on the internet.
Sweden is a bit like Finland, but with mountainous areas on the Norwegian border. Lots of lakes. Lots of wilderness in the northern and northwestern parts. A couple of very large archipelagos in the Baltic. Stockholm in the summer is just beautiful, built on islands and with water everywhere.
Norway, as already said, has a wild and beautiful landscape. Look at the map and you can see that there's a lot of mountainous areas and a very jagged coastline. But bring more $$ than in the other Nordics. Traveling by car along the coast takes a long time.
You will have a great time visiting, but you need to pick your poison unless you are planning on a longer stay. I'd go in the summer season unless you want darkness, cold (down to -30C/-20F is not uncommon) and perhaps the Northern Lights. Then you'd go in Jan-Feb, to the northern parts of Norway/Sweden,
