The Keeper of Lost Causes and The Hanging Girl by Jussi Adler-Olsen: http://schatjesshelves.blogspot.ca/2016/08/happy-birthday-jussi-adler-olsen.html. I love his Department Q series. The next book in the series, The Scarred Woman, comes out September 19; I've received an eARC so look for my review on the book's release date.
Snowblind by Ragnar Jónasson: http://schatjesshelves.blogspot.ca/2017/05/review-of-snowblind-by-ragnar-jonasson.html
Strange Shores by Arnaldur Indriðason : http://schatjesshelves.blogspot.ca/2015/12/book-advent-calendar-day-nine-arnaldur.html. I recommend the entire Detective Erlendur series. (I've just bought The Shadow District, the first in a major new series of novels by Indriðason; look for my review in the next few weeks.)
Another notable Icelandic mystery writer is Yrsa Sigurðardóttir. I’ve read her Last Rituals, the first in the Thóra Gudmundsdóttir series.
Though I’ve not posted reviews, I have read a couple of James Thompson’s Inspector Vaara series.
The Bat and The Police by Jo Nesbø: http://schatjesshelves.blogspot.ca/2016/03/reviews-of-bat-and-police-by-jo-nesb.html. All of the Harry Hole novels are excellent. (I'm currently reading the next book in the series, The Thirst, so expect a review in the next week.)
Anne Holt is another Norwegian mystery writer of note. I’ve read 1222 of the Hanne Wilhelmsen series.
I’ve not posted any reviews of books by Swedish writers but I’ve read Henning Mankell, Stieg Larsson, Camilla Läckberg, Karin Alvtegen, Åke Edwardson, and Lars Kepler. I must post reviews of at least one of these.
Of course detective fiction is not the only writing that comes from these countries. Here’s an interesting article on contemporary fiction from some of these countries: http://fivebooks.com/interview/contemporary-scandinavian-fiction-man-booker/.