I didn't think Sweden and Denmark were all that expensive when last I visited. Expensive, yes, but lodging actually wasn't too bad, and of course decent affordable mass transit (inter- and intra-city) means no rental car expense.
But Norway. Ouch. (Though even there lodging was oddly affordable). Just leave a pint of blood at the counter when you pay for anything. Beautiful, so go if you can afford it, but..ouch.
Pro-tip when traveling to Yurp: Iceland Air generally has competitive fares and allows free multi-day stopovers on the way.