Actually, I'm surprised.
Finland is Number 1 choice for Iceland (a whopping 10 point average), and Sweden, and also high with Norway. On the other hand, there are also two obvious explanations:
Finland won in 2006, and was only one of two Scandinavian entries in 2007. So this fueled the support for Finland I guess.
In general, Scandinavians can rely on each other but not that strongly as the ex-Yus. There also years when they are even punishing each other with nul points.
And the Scandinavians regularly vote with the actual winner rather than their neighbours.
So, let's have a look at Iceland first. They massively back Finland, and I am not sure what's the connection between them. It is the strongest support overall among Scandinavians. I really don't get it. Denmark also gets constant support from Iceland, but this is not so surprising, since Iceland used to be a Danish territory once.
The situation with Norway and Sweden is on and off and the support for the winner is stronger than for Norway/Sweden.
Iceland usually likes the winning songs, except for Germany 2011, Russia 2008 and Greece 2005. What I don't get it, is why they loved Azerbaijan 2011, when the others didn't. Iceland always gave 12 points to a nordic friend.
Norway's favourite neighbour is of course Sweden. They are always awarded with pretty points. The other countries also always got Norwegian points on every ocassion, such a loyal friend!
But Norway rather votes with the winner than with Iceland! Serbia and Bosnia and Herzegovina also score decently on Norway due to diaspora there. Norway always gave 12 points to their neighbours, except in 2010, it was Lena.
Sweden's vote is really interesting. Finland is ahead with a massive 9,50 average. Okay, it won in 2006 and was the only neighbourly choice in the following year. Next comes the actual winner already (although Russia 2008 didn't get any points) and then Serbia over all the other friends and neighbours. Norway is in a sandwich position between Serbia and Bosnia and Herzegovina. They can rely on Swedish help even when they screw up (2004, 2010, 2012).
Support for Denmark is surprisingly poor. Less points than Bosnia and Herzegovina. And Swedes seem to be completely detached with Iceland.
Denmark on the other hand loves Sweden a lot. For the others, Denmark is not that loyal: the winning country comes in second, although Denmark ignored Greece, Russia and Azerbaijan in their winning years. Denmark also prefers the runner-ups as well as Turkey over Norway and Finland. And in the last 4 years, Denmark became the strongest supporter for Germany!
Although Finland is liked by their neighbours, they liked Estonia best and support them massively whenever there is the chance to. They are also rather voting with the winner (or someone different like Hungary 2011) than with their nordic friends. They always gave points to the winners, even when Norway, Sweden and Denmark did not. They support Iceland and Norway less than the runner-up. So Finland should get a fair-play award.
And Denmark seems to be on the Finnish black list. 12 points in 9 years is really poor. Why so much hate?