Biased answer, but here it goes: Norway is the most beautiful country of the three. It has some really nice mountains and breathtaking fjords. There are also glaciers and stuff here, and wild moose walk in the cities. Architecture is really rural and cozy. Also, we're one of the richest countries in the world, and we have a very low crime rate.
But Finland is a cool place as well. They have saunas and lots of lakes. Nature is not as beautiful as Norway though, except for aforementioned lakes. They also have (together with Norway and Sweden) the highest amount of metal bands in the world.
Denmark is really small and very flat, but great for biking. Not as "exotic" as the rest of Scandinavia, architecture and culture reminds of Northern Germany. The Danish are a fun bunch of people though, and they invented LEGO.
Sweden is quite boring, imo. They are more "civilized" than Norway and Finland.