Imho the difference between the nations is much more about their starting location than it is their bonuses, although +2 movement for your Longships is a big help.
With any of them one of your priorities should be getting a Great Admiral. The ai doesn't give you much competition so you should be able to get the first if you try. Don't hesitate to run a few Harbor Projects to speed this up. Once you have your Admiral sail him all the way west to find Vinland for 1,000 Victory Points. You can get the second as well for an additional 500 VP. That's a huge step in the right direction no matter which leader you choose.
Make sure you unlock Longships and Berserkers ASAP. Raiding tiles generates 10 VP each, and if you are the first to raid the tile a large sum of money. That means you want to send your initial units out to raid as much as possible, so that you can buy more units and eventually conquer (at least) the near-by area. The British Islands are ripe for plundering as well as taking. If you send a group of Longships to raid the coasts to the south they will win you a lot of VP, money and faith. Raid everything in sight, and reinvest right back into your military. If you can build up enough momentum you can conquer a lot of the map which will yield a lot of VP. Clearly this is Norway's specialty but it works well for all three.
You can also wrack up VP by settling cities in the open area to the East. If you do this quickly enough they'll grow in time to contribute quite a bit over the course of the game. This is easiest for Sweden, but very possible for all three leaders.
You won't have to worry about defense with two of the three leaders, but Denmark has a hostile neighbor immediately to the West. They aren't tremendously threatening but the will eventually attack, especially if you send all your troops off the conquer the CS to the east. You DO want to capture those CS but don't get lulled into thinking your neighbor is harmless.
*Edit* Being the first to plunder a tile does give benefits but after looking at it I'm not sure exactly how it works. You get 60 VP for being the first. Some tiles give gold and some faith but it doesn't work the way I remember it. One way or the other plundering is the way to get through the culture tree while grabbing goodies.