Let's talk about Sweden.
I don't know about the other Scandi countries but Sweden uses Leopard-tanks.
Scandinavia should probably have F-16's since that's what Finland, Norway and Denmark use.
IMO this scen should be a bit like Crises of the new world order, an excellent scenario, only in Europe and more up-to-date.
archer, no offense but I liked insurgent's suggestion for countries better. Having Greece British and Italy German is a bit too strange for me.
Units: There could be one standard infantry unit, to be used by the neutrals, Russians, Medi's and Scandinavia. That save's some space so the Russians can have some great fighters, Mig-29 and Su-37(?).
Two kinds of freighters would be nice, the Russians could start out with the caravan (renamed of course) and would have to discover some tech to get freights. Just to show that the Russians start off with a weak economy.
Regarding wonders, here's just off the top of my head:
Royal Navy - UK (Magellan's)
Ruhr industries - Germany, maybe Köln or Bonn (Ricky's crusade) This would go obsolete when somone discovers...let's say "Information industry"
Free immigration - Buildable (Pyramids) This can be built but it costs lots of money every turn.
International harbour - Antwerpen or Rotterdam, can't remember which one is the most important harbour.
(Colossus)
Tourism - Mediterranean countries, Athens or Rome. (Adam Smith's) Something to help their economies.
Russian pragmatism - Moscow (Bach's cathedral) The Russians are tough fellas.
Last but not least:
The fair city of Stockholm - Stockholm (Shakespeare's theatre) Because nobody's unhappy in Stockholm.