Note: Parts of this is based on an earlier answer by me, /u/vonadler that can be read here.

Every country Germany invaded, they invaded for a good reason (at least in their own mind).

Poland held territory that had been German before 1918 and a substantial Germany minority. Polish territory also cut in between German East Prussia and Germany proper, something Germany resented. Poland was also invaded because they were a staunch French ally and a potentially dangerous cause of a two-front war, something Germany had bad experiences with in ww1 and wanted to avoid dealing with in the next war.

Norway was invaded to protect the iron ore trade with Sweden, to gain naval bases (especially for submarines) to make sure the German navy was not bottled up in the North Sea as it was in ww1. The Germans were worried about a potential British landing in Norway and decided they needed to be there first after the Altmark incident, where the Norwegians did nothing when a British destroyer captured the German ship Altmark (carrying British sailors captured by the pocket battleship Graf Spee) in Norwegian waters. The Germans used the Altmark incident as evidence that the Norwegians were either unwilling or unable to uphold their neutrality and invaded.

Denmark was invaded as a stepping stone to Norway, as the Germans needed the Aalborg airfield to provide air support for their landings in southern Norway.

Belgium and Luxembourg were invaded to go around the French defences in Alsace-Lorraine (primarily the Maginot line) and the Netherlands was invaded to protect the flank of that advance and to gain access to Dutch infrastructure to help supply the forces pushing through Belgium, as the limits of the infrastructure on the Germano-Belgian border had proven a problem in ww1.

Yugoslavia was invaded when it overthrew the Axis-friendly government that was about to allow the German troops into the country to cross it in order to help the Italian invasion of Greece, which was floundering - the Germans wanted to secure the Balkans and their southern flank from British influence and potential enemies before going to war with the Soviet Union and pressured Yugoslavia to join the Axis and allow German troops to pass through. However, a coup overthrew the government and issued a general mobilisation of the Yugoslav army, and Germany invaded.

Greece was likewise invaded to help the Italians and secure the Balkans before the war against the Soviets.

The Soviet Union was invaded as part of the nazi's idea of a grand war between ideologies, where communism and nazism were opposites and because they considered the Soviet Union a prime area for colonisation by the 'superior' aryan/germanic race over the 'inferior' slavs.

Portugal, Switzerland, Turkey, Sweden and Spain had the good fortune of not getting in the way of Germany and not allying with it. In some cases, this involved walking a diplomatic tightrope of being strong enough to resist, and not being a threat.

Germany was not realiant on Swedish iron ore - Swedish iron ore was convenient, and from September 1939, when France declared war and the French ore from the mines in Alsance-Lorraine (which the Germans had continued to use despite losing that territory in the Versailles Peace Treaty 1919) until the Germans gained control of the French and Belgian iron mines in Summer 1940, the Swedish ore was important, if not vital to the Germans. Considering the Germans imported some ore and scrap iron from the Soviets (along with other raw materials such as oil) from the Soviets, had the Swedish ore been unavailable, the Germans could have sourced ore from the Soviets, or increased their own domestic production. The high iron content of Swedish ore (up to 65% compared to European 30-32%) lowered the cost of transport, refining and smelting the ore and making steel out of it - a ton of steel from Swedish ore had about half the cost compared to European ore for Germany.

Before April 1940, the German options for taking Sweden were small. September-October 1939 they were heavily engaged in Poland and spent a lot of their reserves of fuel and ammunition there. Winter 1939-1940 was extremely hard, and the Baltic ice situation made any kind of naval operation against Sweden impossible. The Baltic Sea froze during the winter, and wind and currents piled up huge ridges of ice outside the ports. A naval invasion was simply not possible.

The Germans did not have the naval capacity to invade Sweden, Denmark and Norway at the same time. The invasion of Norway was a huge gamble which paid off due to German audacity, the element of surprise and a lot of luck. There's no way for the Germans to invade Sweden at the same time. One also needs to remember that the Swedish army, while weak compared to the armies of the Grand Powers, still was the strongest in the Nordics, being about twice the size of the Finnish, four times the Norwegian and eight times the Danish army. The Swedish army was also much more heavily armed, with more heavy weapons, artillery and anti-tank weapons than all the other Nordic countries combined. Only in training time was the Finnish army better than the Swedish at this time. In late April 1940, the Swedish army had mobilised some 400 000 men. In 1943, it could mobilise 600 000, plus another 100 000 of the Home Guard.

A naval invasion against Sweden also faces a lot of problems - most important Swedish cities - Karlskrona (the main naval base), Stockholm, Göteborg, Norrköping that are on the coast are behind extensive archipelagos, which cannot be quickly navigated, which unlike the German landings in Norway means that the defenders will have some warning. Unlike Norway as well, Sweden has many larger industrial and population centras inland, such as Västerås, Linköping, Jönköping, Karlstad, Örebro, Östersund and so on, which cannot be taken by surprise and naval landing as the Norwegian cities were.

Please note that the Germans did not transit troops through Sweden to invade Norway and Sweden denied repeated requests from the Germans to reinforce and resupply the hard-pressed mountain troops of General Dietl in Narvik over Sweden as long as the war was going on in Norway. The last Allied troops left on the morning of the 8th of June 1940, after which Sweden agreed to allow German troops going to and from Norway on leave to travel on Swedish railroads.

After the invasion of Norway and Denmark, the Germans had France to deal with, and any larger effort agains Sweden would require them to weaken or delay their attack on France and the Low Countries, which was probably deemed unacceptable.

There's a window between August 1940 and June 1941, when the majority of the Heer and parts of the Luftwaffe are not otherwise engaged and Germany could comfortably take on Sweden. This is also the time when Sweden is as compliant as possible, allowing the Germans to transport a fully armed infantry division from Norway to Finland (weapons and personell on separate trains, closely guarded by the Swedish army), to buy all the iron ore and ball bearings they want, to transport (unarmed) troops on leave from Norway and back as well as some special arms (such as heavy guns for their fortifications in Narvik) on the Swedish railway network.

When it comes to the iron ore, one needs to remember that after the Germans took Norway and Denmark, they held a choke-hold on Swedish trade. Despite strong Swedish diplomatic efforts, which allowed Sweden to pass a number of merchant vessels through the North Sea with both British and German approval, Sweden was only able to reach about 15% of its pre-war trade this way. Sweden was utterly dependent on German coal and coke, for its electricity production (and thus infrastructure, as the Swedish railroad network was electrified and reliant on electricity from power plants run on German coal), its hospitals (that ran their disinfection and laundry on steam generated by German coal) and a large part of its home heating and cooking (runnign on water gas made from German coke) as well as its own internal steel production, which needed both German coal and coke. Sweden also needed animal fodder, artificial fertilizer, lubricating oil, machine tools, engines and weapons and weapon components from Germany in order to maintain its society and defences.

After the Germans invade the Soviet Union they are again in a situation where they can take on Sweden if they really want to, but that it would require moving Heer and Luftwaffe elements from the primary front in the Soviet Union, which was probably deemed unacceptable.

Sweden ended the transit agreement allowing the Germans to move food, tobacco and medical supplies and troops on leave on the Swedish railway netwrok in August 1943 and stopped selling iron ore to the Germans in October 1944, after feeling that German defeats had weakened them and the continued re-armament of the Swedish armed forces had progressed to an extent that Sweden felt that the Germans would deem it too difficult to take on Sweden.

Continued below.