We do ex-ARN quite a bit, going both east and west and always go out the night before, usually on either the 20.08 BA or the slightly earlier SK flight - SK preferred due to location in T5, mostly because I don't trust LHR congestion OR potential weather in ARN (fog can be an issue too). And although its expensive, we do tend to cough up for the Radisson because its in the terminal and you can RI late at night and RO the next morning early and get to your gate with plenty of ease without having to faff around with airport shuttles and the like. Its how we know our holiday has started!
Sure the whole airport looks like an Ikea exploded, but its easy to get around and easy to transfer between terminals. Most problems Ive had have been some serious .......s at immigration trying to leave the damn country and some way overzealous security check people, but on the whole it works for us as we can usually take a few days on the return to go out to the hinterlands to see family. We've taken Flygbussarna, the Pendeltag, AE, and a taxi and we always take the AE. The bus is cramped and the pendel takes REALLY long, especially if taking it all the way from west of the city. But if you were looking for a cheap day in Stockholm to see the sights, then either dumps you off by central station and are fine propositions. We've also looked at the cost of AE to central station and staying in some of the micro hotels there overnight, but I think it was a wash for the cost or any benefit was offset by the hassle.