Anyone who has paid attention knows that Denmark and Sweden are among the least religious nations in the world. Polls asking about belief in God, the importance of religion in people’s lives, belief in life after death or church attendance consistently bear this out.
It is also well known that in various rankings of nations by life expectancy, child welfare, literacy, schooling, economic equality, standard of living and competitiveness, Denmark and Sweden stand in the first tier.
The upshot is that Scandinavians really don't think about religion much at all, though they tend to think of themselves as Christian. They believe in Christian principles, like "helping your neighbor," and they enjoy holiday rituals, which seem to serve a community-building function. They simply aren't interested in God, or in related questions of what life "means."
This strikes me as utterly sensible. Remove God from the equation, and you have a very "nice" (again, as interviewees put it) set of principles on which to build a just society. God would seem to get in the way of those principles. Say you have a workplace with a remote, mercurial, power-mad boss--along with a likeable but extremely co-dependent Vice President. There's a handful of people who'll try their mightiest to suck up to that boss, eagerly doing his dirty work and hurting their coworkers further in the process. Eliminate the boss, and all you have is you and your colleagues, doing the best you can together. And the VP is freed to be him(her?) self--a good person with good ideas you can use.