I understand that Norway competed for and claimed significant areas in Antarctica, but aside from this I have heard virtually nothing about Scandinavian nations seizing land.
In the 17th and 18th centuries, Scandinavian countries did engage in establishment of colonial trading stations, forts and trade routes, just like other powers like Britain, France and the Netherlands, but these were mostly taken over by force or bought out by bigger powers. In the 19th century, Swedish (and presumably Danish too) policy was to ensure access to colonial markets for its industry, but not to engage in territorial acquisition, which was expensive and risky, especially for a small country (an attitude shared by others like the government of Belgium)
This was the period when European maritime powers like Britain, the Netherlands, and France, together with the already established powers of Spain and Portugal, competed for control of ocean going trade (e.g. slaves, gold, spices, textiles) routes, which mostly involved establishing bases and treaties with local powers, as well as occupying existing kingdoms and land in places like America and India. Scandinavian countries were involved in this period. Sweden established settlements on the Gold Coast of Africa (around modern Ghana), in North American (modern Delaware), and in India. Denmark (which included Norway, as Norway was ruled from Denmark at the start of the colonial period, and this continued until 1814) was similar, establishing trading posts around the same areas, as well as in the Caribbean. Colonialism in this period was a bit like modern capitalism, meaning that as time went on it went through a process of consolidation, with smaller powers like Denmark and Sweden being bought out or forcibly taken over by larger ones, like the Netherlands and then Britain. Thus by the mid 19th century most of the Scandinavian trading stations had been taken over in this way. As someone else posted, one of the remnants was the Danish West Indies, which were bought by the US in 1917 for use as a naval base. Sweden also had an 18th and 19th century Caribbean colony, Saint Barthélemy.
This was the period of territorial expansion, exemplified by the scramble for Africa. As you say, Belgium was involved in this, but this was a strange situation, as Belgian involvement was down to the intense interest of King Leopold II in foreign colonies; the actual government of Belgium was uninterested, seeing colonies as unprofitable and risky. It was Leopold who financed the exploration of the Congo, which sparked the process leading to the Conference of Berlin 1884-5 where he (personally, not on behalf of Belgium) was awarded the Congo. And Belgium's other African colonies, Rwanda and Burundi, came about due to the presence of Belgian troops in the Congo during WW1 that were therefore able to take these areas of German East Africa. The Belgian government had been forced to take over the Congo from Leopold in 1908 as it had been ruled so brutally under his authority.
Denmark, and Sweden-Norway (in a union at this time) did attend the Berlin conference. Regarding Sweden at least (See Nilsson 2013), like the Belgian government, they considered it more important to achieve guarantees of free trade for their industries and merchants in Africa, rather than to gain territory, which was expensive to maintain. And they did achieve this, the conference stipulated that the Congo would be a free state open to trade from all nations, and there would be free navigation on the Niger and Congo rivers. "Among the Europeans sent to the Congo to manage the operations of the International Congo Association between 1884 and 1910, Swedes were the third most numerous, surpassed only by Belgians and Italians (Tell 2005)." (Nilsson 2013).
Nilsson, David (2013). Sweden-Norway at the Berlin Conference 1884–85: History, national identity-making and Sweden’s relations with Africa. Current African Issues 53. http://nai.diva-portal.org/smash/get/diva2:650999/FULLTEXT01.pdf
As far as I can tell, most Scandinavian countries (notably Sweden, Denmark and Norway) DID involve themselves in colonial ventures yet just to a far lesser extent than that of say France, Spain, Portugal, the Netherlands or Great Britain. Early examples of Norwegian colonialism included establishments of viking settlements in Greenland and Iceland. Also the L'Anse aux Meadows which was discovered in Newfoundland, Canada to be a failed viking settlement dating to around 1000AD (well before Columbus discovered the Americas). Sweden had colonies in the Americas (New Sweden, an acquisition of Dutch territories) and African (specifically the Swedish Gold Coast). The Swedish East India Company was the largest trading company in Sweden until it folded and held colonial possessions in the "Far East" (Asia). The reason we don't hear about Scandinavian-influenced countries post-colonialism and in the modern world is that most of these colonies were taken over by other powers, lost early on to the natives (like the island of Tobago) or handled poorly and so fell into disorder. New Sweden was retaken by the Dutch. This crashed the Swedish-Atlantic slave trade and decreased the power of the Swedish Gold Coast as an asset to the Swedish government. The only real signs of Scandinavian imperialism that remain to this day are the two autonomous states of Iceland and Greenland which are often forgotten as Scandinavian of origin. Have an awesome day :D