funxus,
depends on what kind of a definition you want to follow. The strictest geographical definition that I prefer relies on the fact that Scandinavia is the peninsula with Sweden and Norway on it; this would only include those two countries.
Some people like to include Denmark because it is so close. You might or might not also include Iceland. This kind of grouping of countries relies more on linguistic and cultural-historical boundaries... those countries were the "Viking" countries and speak languages that resemble each other a great deal.
Finland on the other hand is quite a different animal in the lot despite having been greatly influenced by the proximity of Sweden and the fact that they conquered us in 1100-1300 and kicked us in the head as much as they could for the next 600 years before Russia managed to snatch us away from them. We're separated from the "Viking Scandinavia" by language and ethnicity (despite much cross-breeding across the gulf), even if in modern days all the Nordic Countries (Finland, Sweden, Denmark, Norway, Iceland) are very close to each other in the ways they have organized their societies.
Anyway, it is my impression that especially most Americans think of Scandinavia as "anything north of Germany where gorgeous tall blondes with horned helmets sail Viking boats in fjords and have wild sex in saunas"...