In the United States it is not uncommon to apply to academic jobs all over the country. Personally, I do not know a single person who limited his or her search to just one state (i.e. Massachusetts). That being said, the language of instruction and the key aspects of academic culture remain the same coast to coast.

In comparison, what is the situation like in Europe, particularly Scandinavia and Switzerland?

For example, given that the population of Denmark is comparable in size to that of Massachusetts, how does this affect the academic job market? Is it standard practice for PhDs & lecturers/postdocs located in Denmark to search for their first career placement across Europe [and beyond]? Or do they search for employment primarily on the national academic job market? How do the national differences in language/academic culture fit into this equation?

Background: I’m considering PhD/Academic Career in Europe. Ideally, I would like to learn the local language and assimilate as much as possible during the PhD. Given this long-term effort, I would prefer to continue on in the same country following graduation.

I’m especially interested in hearing from those with experience in the social sciences and humanities (working or studying in Denmark, Finland, Norway, Sweden, or Switzerland). However, please consider contributing even if you do not fit this particular set of criteria. My own experience is in Cult/Soc Anthropology (USA).

Even with schemes to aid mobility like Marie Curie postdocs etc, the European academic job market is very variable in how willing each country is to hire PhDs from elsewhere. And so what your chances are post-PhD also vary (there will also be things like % of graduates doing a PhD and whether international PhD graduates have the same chances as home students that make a difference to your chances).
I think though there are considerable differences between those countries. Some i.e. Denmark / Switzerland seem to have far more international staff - I think this is because a lot is taught in English in Denmark and the main Swiss languages are widely spoken by other Europeans so the markets are more open, and so there seems to be less of a guarantee of an academic job post PhD. In contrast I have yet to meet a Norwegian PhD who wanted to stay in academia and wasn't found something - however unexciting - but maybe my sample could be very skewed. But I see jobs advertised internationally in Denmark / Switzerland and don't for Norway. Sweden / Finland are I think somewhere inbetween. You might want to have a look at the European University Institute's Academic Career Observatory site - there's some interesting info there on all of this.

I don't really know about those specific countries or social sciences, but I think most people want to stick in their own city/country if given the chance, at least when they get to a certain stage in life. People need stability. It is often very difficult to find positions close by or even in the same country though and I think that's one of the key reasons people leave academia. Basically, I'm saying it's the same as in the US. If you want a permanent lecturer job by 5-10 years post PhD, you better be prepared to have moved to get it, or be prepared to accept something that isn't your ideal.

Personally, I'm not inclined to leave the UK. Actually, I'm not inclined to leave my home city. Luckily I have an academic job for now.