What do Sweden, Norway, Denmark and Finland think of each other?

Answering as a Greek.

The Greek humorist Freddy Germanos (Φρέντυ Γερμανός, Freddie Germanos), God rest him, visited Denmark in the ’60s. This was his take on OP’s question (Ταξίδι στην Δανία, from the collection Το Δις Εξαμαρτείν):

The first thing you work out in Scandinavia is that the Danes do not adore the Swedes and the Norwegians, the Swedes do not adore the Danes and the Norwegians, and the Norwegians do not adore the Danes and the Swedes.

The Swedes will not forgive the Danes for Sweden once being their colony. The Danes will not forgive the Swedes for Sweden no longer being their colony.

The Norwegians don’t like the Danes because they beat them in soccer. The Danes don’t like the Norwegians because they have a lot of mountains. The Danes and the Norwegians don’t like the Swedes because they have a lot of money.

[…]

When a car and a bicycle cross paths, the car goes back. When a car and a bicycle cross paths with a dog, the car and bicycle go back. The dog is a sacred animal in Denmark.

In general all animals are sacred in Denmark, so long as their blood is not contaminated with Swedish or Norwegian blood.

[…]

The Danish national inferiority complex is that they have no mountains. Their tallest mount is the Mountain of Heaven in Jutland, which is 157 m tall.  Danes say proudly, “It’s a wonderful view from there”.

Norwegians, who have a surfeit of tall mountains, usually reply: “Of course it’s a wonderful view. So long as you stand on a chair.”