OK, here is my last word on this subject. According to dictionary.com the definition of "Scandinavia" is:

1. Norway, Sweden, Denmark, and sometimes Finland, Iceland, and the Faeroe Islands.
2. Also called Scandinavian Peninsula. the peninsula consisting of Norway and Sweden.

while the American Heritage Dictionary says it is:

A region of northern Europe consisting of Norway, Sweden, and Denmark. Finland, Iceland, and the Faeroe Islands are often included in the region.

and Worldnet says:

1. the peninsula in northern Europe occupied by Norway and Sweden
2. a group of culturally related countries in northern Europe; Finland and Iceland are sometimes considered Scandinavian

and the American Heritage new Dictionary of Cultural Literacy says:

The region in northern Europe containing Norway, Sweden, and Denmark and the peninsulas they occupy. Through cultural, historical, and political associations, Finland and Iceland are often considered part of Scandinavia.

Here is the link: http://dictionary.reference.com/browse/scandinavia