The Finnish "Sauna" (aka "Filth") is supposed to be very atmospheric; haven't checked it out myself yet though.
The Finnish stab at a broader mainstream market with "Dark Floors" isn't half as daft as the appearance of the "Lordi" band in full make up would suggest, decent hospital horror imho.
Then there's "Skeleton Crew", a Finnish "tongue-in-cheek" take on the current "torture porn" wave; good fun.
On the Swedish front we also have the very moody "Blairwitch"-style "The Unknown" ("Det Okända"), a personal fave of mine.
The Swedish splatter spoof "Evil Ed" has a censor (!) on the rampage
Then there's the Swedish outing "Sleepwalker", which is also supposed to be quite tense and gripping- haven't checked it out myself yet.
Not exactly horror, but the Danish thriller "Nightwatch" from the mid 90's is a real treat for genre fans and in contrast to the same director's US remake, the plot actually makes sense.
There's a recent Norwegian "rape 'n revenge" flick called "Hora", which I haven't succeeded yet to get my hands on.