I live in Wisconsin, USA and I always laugh when people talk about how hard the winters are here. 3-4 well-planned layers on your torso and legs, a good pair of wool socks and boots, and a cross-country skiing hobby and you end up anxious that winter won't last long enough. It's the people who stay indoors and don't dress properly for the cold who have a hard time.

Regarding Scandinavia, I suspect the lack of sunlight does add an interesting dimension of toughness to winter that we don't have to deal with here, though.