I can't speak to Stockholm or Oslo. I live in Copenhagen and have been to Reykjavik. I think it really does depend on what you're going for. "alone" time, can be had anywhere, but the degree of aloneness can be quite different. Iceland is really nice for a couple of days, especially at that time of year. It's cooler than CPH for sure, but there's the Blue Lagoon and other thermal hot springs spas. If you don't like nature drives, it will get boring rally fast. Copenhagen is nice. There's not a whole lot to do here for more than a couple of days as a visitor if you need "city" things to do. If you like beaches (with really f@cking cold water) and parks, it's a nice place. Night life is good I think. I don't go out really, but the few times I have gone out with friends visiting, it has been fun. You don't need a car in Copenhagen, but you do in Iceland.

Wherever you go, plan on having 2x what you're planning on in cash. It's shockingly expensive anywhere in Scandinavia.