The Nordic countries are Denmark, Finland, Iceland, Norway, and Sweden. In addition, the island territories of Åland (part of Finland), the Faroes (part of Denmark), and Greenland (Denmark) enjoy a degree of self-government and are considered distinct. The Sapmi region has a distinct identity as well.
These regions are loosely united by diverse cultural (see Norse mythology, Lutheran church, Nordic University Computer Clubs), political (see Nordic Council, socialism), and historical (see Vikings) ties.
For a full definition and many facts about the Nordic countries, see the Nordic FAQ at http://www.lysator.liu.se/nordic/