The European Commission lists PhDs in Europe on their website:
http://ec.europa.eu/euraxess/index.cfm/jobs/index
Not all positions in Scandinavia are advertised on this site, your best bet is to look at individual university websites. You can find out what universities are in each country and various information by going to www.studyinsweden.se www.studyindenmark.dk www.studyinnorway.no www.studyinfinland.fi
Finland is different from other Scandianvian countries as they typically do not advertise positions or require funding, funding is provided with separate applications to research councils.
From my experience in the social sciences, your best bet is to contact the academic contact for each advertised position before applying. Foreigners and outsiders in general have pretty poor chances of getting admitted as they are competitive and often go to internal candidates.
Good luck.
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