I've read the first four books by Maj Sjöwall and Per Wahlöö, including
The Laughing Policeman, but I frankly wasn't that impressed because there really wasn't much to the "mystery" part of it. I did enjoy the humor - particularly in the quips exchanged among the policemen - but not enough to make me keep reading the series. I enjoyed the Stieg Larrson very much - I think because they were quite complex stories with a lot of different elements to them and interesting characters in addition to a good mystery. A lot of these so-called mysteries seem to be more of mainstream books with a little, weak mystery thrown in on top as an afterthought. I didn't care for the couple of books I've read by Henning Mankell, either, mainly due to his rather odd writing style, although of course it could be the translation.
I just learned about the "Amsterdam policemen series by Van De Wetering" also and just started the first one in the series. The combination of Amsterdam setting, Japan and Buddhism sounds intriguing.
I have Jo Nesbo on my list, too.
If you haven't seen it, here is a good website for finding out about Scandinavian authors. Of course, unfortunately, a lot of them are not in ebooks yet.
http://www.scandinavianbooks.com/index.html