The best contrast for Scandinavia is probably with England to the UK and Castile to Spain. This is because, in all three regions/states, unification originally occurred through personal union (that is, multiple states joined under the same monarch, though they still may be separate states).

First, we'll consider the British Isles. There were traditionally three "kingdoms" in the Isles, those of England, Scotland, and Ireland (it's more complicated than that, but we'll leave it at that for the given conversation). In 1542, the Parliament of Ireland proclaimed Henry VIII the King of Ireland, which put England and Ireland in a personal union under the Henry VIII (and his successors) though they were still ostensibly separate states. Similarly, when James I (VI) ascended to the English throne in 1603, he unified the three crowns of England, Ireland, and Scotland under one monarch, though they were still technically three states. This first changed in 1707 with the Acts of Union by which the crowns of England and Scotland were merged creating a single Crown of Great Britain. It additionally created a central parliament in London, basically merging England and Scotland into a single state. The Acts of Union of 1800 similarly merged Great Britain and Ireland to create the United Kingdom. Thus, while the crowns of the various kingdoms were occupied by the same person early on, the countries themselves were only unified later.

Spain is slightly more complicated because it doesn't have the relatively clean Acts of Union that the UK had to define when states were unified. Also, the fact that Spain was a Habsburg realm complicates when it was unified as a state. However, generally the crowns of Castile and Aragon were united in 1469 with the marriage of Ferdinand and Isabella, while the states were unified in 1516 with the ascension of Charles I (V) to the throne of Spain.

Now to Scandinavia. At various times, the various states were unified under a single monarch. Sweden, Denmark, and Norway (plus Finland, Iceland, and Greenland) were in a personal union as the Kalmar Union from 1397 to 1523. Denmark and Norway were in a personal union from 1524 to 1814, while Norway and Sweden were in a personal union from 1814 to 1905.

These relations never progressed beyond personal union though. For example, the Swedes wanted to leave the Kalmar Union due to the Danes wars in the Schleswig, Holstein, Pomerania, and Mecklenberg, which economically hurt Sweden. This led to them leaving the personal union (though not without resistance from the Danes).

Denmark-Norway was broken up because the victors of the Napoleonic Wars forced Denmark to cede Norway to Sweden. Norway actually resisted this, leading to a war between Norway and Sweden in 1814, which ended in a Swedish victory and a personal union between the two states. The Norway-Sweden union pretty much had constant friction, which led to Norway unilaterally declaring independence in 1905, which was accepted by the Swedes.

In the end, it's hard to say exactly why Scandinavia didn't end up unifying as a single state after having been in a states of semi-union for about 500 years. Clearly, there had existed conflicts between the Danes, Swedes, and Norwegians that made it difficult for them to coexist. Additionally, with neither the Danes nor Swedes being able to effectively overpower the other, it made it difficult for either to establish hegemony over the region. We can compare this to the case in the British Isles, where England was almost always the strongest state.

Finally, we can address the other unifications you've mentioned. First, Germany and Italy were unified during the 1800s due to romantic nationalist movements in those regions as well as shrewd political maneuverings by people like Bismarck and Count Cavour. They were able to get people to want to unify as a single nation, not as Prussian, Saxons, and Bavarians nor Sicilians, Florentines, and Romans, but as Germans and Italians. There was a contemporary movement in Scandinavia called Scandinavism, which was actually fairly popular and looked like it might have actually caught on. However, just as it was with the Kalmar Union, Denmark's wars in regards to Schleswig led to Sweden becoming cool on the idea of union (Sweden supported the First Schleswig war in 1848 by sending volunteers to help Denmark, but opposed the Second on in 1864 because it didn't want to make enemies of Prussia and Austria).

Finally, its hard to compare Russia to Scandinavia. Russian expansion was much more an imperialistic one (while Western Europe expanded into the New World, Russia expanded East), where Russia conquered areas that were decidedly not Russian and went on to Russianize them through various measures like migration, language education, and religious conversion. Muscovy didn't really unite as much as it continuously expanded, defeating rivals (like Novgorod), and eventually conquering areas where their ethnic group was not the majority.

Overall, Scandinavia didn't unite because its rules couldn't convert personal unions into national unions and Sweden really didn't like Denmark messing around in Schleswig.

It almost did, in a sense. Margaret I of Denmark began a period of unified rule of much of Scandinavia from the late 14th century until the early 16th century. This was probably the closest Scandinavia ever came to unification, and is similar to the way that Scottish personal union over England led to the Kingdom of Great Britain and the marriage of Ferdinand and Isabella led to the unification of Castile and Aragon (in the sense that it was a political rather than military unification). Throughout this period of unification there was a power struggle between the Danish monarchs who sought to assert Danish dominance over Norway and Sweden and powerful (predominantly Swedish) nobles who resisted attempts at further integration. Ultimately Denmark's hold on Sweden slipped, as Christian II inadvertently ended Swedish infighting after massacring troublesome Swedish nobles, and Gustav Vasa managed to secure Swedish independence. Denmark still retained control of Norway until after the Napoleonic Wars, when Denmark was forced to turn over Norway to Sweden. Between these events (loss of Sweden and loss of Norway) Denmark and Sweden regularly fought as bitter rivals attempting to assert their dominance over Scandinavia and the Baltic. Danish revenue from the Øresund toll and political maneuvering kept the Danes in the running for another century or so, but Swedish military reform and attempts by the Germans to challenge Danish dominance of the Baltic eventually proved too much and allowed Sweden to eclipse the Danes.

Had Sweden not seen its regional dominance end with the Great Northern War, it's possible Sweden would have eventually unified Scandinavia through military might. But there are some issues with Scandinavian unification that were less prominent for Germany, Spain, and the other examples you listed. The fact that Scandinavian affairs were dominated by the Danish-Swedish rivalry for centuries certainly made it a political challenge. There was also the issue of surrounding powers likely not wanting to see a unified Scandinavia. Russia for centuries attempted to bring Finland into its sphere of influence, and the German states had found Danish and Swedish meddling in Baltic and Central European affairs annoying as separate states, let alone united. There's also the fact that by the 18th century neither Denmark nor Sweden was militarily capable of outright conquest and occupation of the other, especially if there was foreign intervention. Sweden, for all its accomplishments, was no Prussia or Muscovy.

By the early 20th century (at which point Sweden and Norway formally and peacefully separated), Scandinavian unification was at a bit of an odd crossroads. The personal unions and monarchies of old were declining, in favor of democratic rule and self-determination for the various peoples of Europe (a Swedish state for the Swedes, Finnish state for the Finns, etc.). Unification through military might, as seen less than a century earlier with the German wars of unification, would have been impossible militarily and almost certainly would have drawn international condemnation and intervention. That leaves us with one route: Peaceful political integration. Without trampling on the 20 year rule, I can really only say that the Nordic Council (established in 1953) is seen by some as a route to eventual Scandinavian integration, the same way the EU is seen by others as a route to eventual EU integration. Whether or not that will ever happen is for speculation and can probably be directed at a politics subreddit.

I covered a lot of ground there and kept things more general instead of detailed, so if you have specific follow up questions I can do my best to answer them (or someone a bit more qualified can do the same). I'll link some sources below for further reading if you're interested.

http://danmarkshistorien.dk/en/leksikon-og-kilder/vis/materiale/kalmarunionen-1397-1523/ (this whole site has some nice summaries of Danish history if you're not looking for a ton of depth)

http://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=2008&context=etd (Thesis that goes into great depth on relations between Denmark-Norway and Sweden after the collapse of the Kalmar Union)

I'll come back and include some more sources and additional reading if necessary, it's 2:30AM here.

Edit: Grammar and phrasing on some points.