In the modern era, I feel like we missed an opportunity after WW2. There was some talk of a Scandinavian defense union then, which would have been like a greater Sweden in terms of global politics (i.e. neutral as hell, but really much more friendly to the West than to the Soviet bloc). If that had happened we might have grown closer into some kind of mini-EU-like confederation, etc.
Or maybe during WW2? Sweden and Finland unites in some way after the Winter War to protect themselves from the Soviet Union and Germany. They stays neutral until the D-Day and launch an attack in german-occupied Norway and Denmark and liberates them from Germany. How about that?