This is really difficult to answer because they're all wonderful! I've visited all of them (I love Scandinavia) and all the countries are clean, safe, friendly and full of culture and stunning landscapes.
I think I found Denmark and Sweden the least impressive. Still amazing places, but they felt a lot more European, rather than distinctly Scandinavian (but that said, I've only been to big cities). The Tivoli theme parks in both places were great fun, and I'd also recommend a visit to Skansen outdoor museum and zoo in Stockholm.
Finland has a really unique feel, it's very laid back and uncrowded. If you're wanting a winter break with winter sports, husky sledding, ice hotels, Christmassy fun and saunas, Lapland is the place to go.
Norway is stunning, and I'd say it's my second favourite Nordic country, because of the beautiful fjords. I'd recommend a cruise or the railway between Oslo, Bergen and Flam. In the future I want to visit Tromso and the Lofoten islands!
My favourite has to be Iceland though. South west Iceland is fantastic, you have the Blue Lagoon, Gullfoss
waterfall, Thingvellir national park, the geysers, and Reykjavik, with its Viking history, whale watching and outdoor geothermal pools.
So it partly depends what you're looking for and what kinds of activities you like, but I'd say Iceland or Norway! Only downside though: they can be very expensive!