If you’re curious about the Viking age (roughly 800-1100AD), then some major differences were determined by landscape. For example, limited farming in Norway because of the mountainous terrain and constant fjords. Perhaps this could be seen as a reason for the rise of a seafaring, looting Viking population.

Denmark had a great deal more interaction with mainland Europe via its land border with Germany. That meant interactions with the Frankish kings and some attempts to view their leaders in that mould. They also built a massive fortification, the Danewirke, across this border to keep the Germans/Franks out.

Sweden was heavily forested, but has more rune stones than any other area in the Nordic region, large carved and painted standing stones commemorating a noteworthy individual, or invoking some folk legend. These also are attested from the other areas however so you couldn’t say that technology was exclusive. Perhaps one could suggest that pagan rituals were stronger here, and this is certainly recognised at least with regards to conversion; with Denmark being recognised as ‘far less pagan’ long before Sweden. There is some literally support for this, as the Icelandic sagas/poetry recognise Sweden as the mystical origin of the races of gods, and the East as an area with mythical creatures and monsters.

In terms of laws and leaders, later chronicles and sagas sometimes treat the leadership of Norway/Denmark a little differently. For example, Norway calls its leaders earls or chieftains for a lot longer, whereas Denmark tends to use king. Unfortunately it is unclear whether these titles refer to more or less the same kind of role - a proto pre-Christian king.

The most significantly divergent system of laws was in Iceland, where they had a commonwealth, and no single political leader, although there was a ‘law speaker’, who would convene the Althing (political assembly) at Thingvellir. Here they would decide on whether to outlaw misbehaving settlers or grant people land. Icelandic culture therefore has a semblance of democracy for a few hundred years before it was properly incorporated into the kingdom of Norway in the 1260s. For example, they allegedly used the Althing to debate whether the whole island should convert to Christianity or not. Iceland is certainly the most culturally unique of all these states, because of its late settlement and ‘new’ relatively independent culture, initially based around law and not religion. Interestingly, it is predominantly the Icelanders who write down the ‘history’ of all the other regions too - therefore forming our understanding of those places at this time in the first place.

Post-conversion (and therefore nearing the end of the Viking age) the story is a little different. Christianity takes hold of different regions at different times, for example Lund in modern Sweden (but historical Denmark) was the location of the first archbishopric in Scandinavia - this meant that aspirational Christian Norwegians were somewhat subordinate to the ‘more enlightened’ ecclesiastical leaders of Denmark. Norway was soon granted an archbishopric at Nidaros (modern Trondheim) however, which recognised its worthiness as a Christian state. It shouldn’t be overlooked how important these church decisions were for the developing identities of these states - having an archbishopric also validated the divine kingship of a country’s rulers, and strengthened their chances at having their past leaders canonised.

Scandinavia as a collection of Christian kingdoms then takes you out of the middle ages and into the early modern period. I don’t know whether it’s the Viking or Christian part that interests you more, but almost from the beginning of the Viking age, some degree of Christianisation was taking place, and so the two shouldn’t be seen as entirely distinct.

Happy to discuss more.

TL,DR:

Norway - easy to conceive as home of the Vikings Denmark - closest to European culture, first to convert to Christianity Sweden - mystical and somewhat detached Iceland - unique and self-contained with a strong literary culture