Actually the wonderful world of international espionage seems a bit like the trading game in CivIII. You get hold of something useful, you trade it. If you want to now "useful things" (mostly secret) you need to have something to trade it for (also secret). It's only the US that's big enough to try to be entirely self dependant (and carrying the Commonwelth).
Of my countries, I know for a fact that the French have something similar to the ECHELON only on a much smaller scale. We are listening in on the US as much as possible, and I'm quite sure we trade anything useful for info from others.
As far as Sweden is concerned, after spying first on the Soviets and then on the Russians for 50 years, we're actually quite good at it. Lots of electronic surveillance by the FRA (Försvarets Radioanstalt) and fieldagents, who get picked up regularily by the Russians. Big stink, lots of hard words and everything goes back to normal. (I don't think anybody notices what Sweden does except the Russians.) This is the only kind of espionage Sweden engages in it seems. It's a matter of specialisation. We spy on the Russians and trade what we find for other kinds of info. It has been going on since the end of WWII, when "neutral" Sweden photographed every damn Soviet radar installation on the Baltic coast, fed it to the Brits who fed it to the US. We also sent hundreds of agents across the Baltic, mostly esthonians, in a joint effort with the British in the 50's. To bad Kim Philby and his lot were tipping of the KGB, so these guys were all met by a little welcoming commitee as soon as they stepped on to the beach.
Anyway, everybody spies on everybody. Spying on your allies is vitally important, so we all do it. This time it has been officially declared that it's being done, but that's the only real difference. (Oh, and the fact that the US doesn't necessarly always win the spy-game, which would seem to be the more upsetting thing.)