The Estonian- set Finnish co-production Darkness in Tallinn is a heist film well worth seeing. 

From Denmark; Festen, Pelle the Conqueror, Babette's Feast, Mifune and classics by the great Carl Dreyer- Ordet, Day of Wrath, Vampyr. Lars Von Trier is a very popular and generally admired Danish director. 

Sweden; Bergman's Persona, The Seventh Seal, Wild Strawberries, Fanny and Alexander, Cries and Whispers are all placed very high in this site's top 100. Show me Love (Moodysson) is an excellent film about a teenage lesbian crush that develops into something more. My Life as a Dog (Hallstrom) is a childhood crowd-pleaser.