It is true that the Nordic countries don't have the degree of luxury found in many other major cities...and it is unfortunate. But I think the posts show that part of the challenge is the general level of inconsistency -- most of the top hotels (D'angleterre, Grand, Kämp, etc.) have some fantastic rooms and great service, and some small, dark rooms... Often, the boutique hotels are a better bet for good service (although still small rooms frequently).

In Malmö, I can highly recommend the Best Western (Premiere) Mäster Johan. It is right off the main square and adjacent to the very popular "Little Square" (Lilletorget). The breakfast is divine, the rooms are large and well-appointed, it is close to the central station and in the center of town. There is no restaurant, but there are tons nearby and they do offer limited 24-hour room service, and wine/beverages in the lobby. There are other nice hotels in town with more amenities -- Hilton, SAS Radisson, Kramer -- but none are as warm and nice as the Mäster Johan, nor feel quite as luxurious.

For the other cities... Skt. Petri in Copenhagen may not be luxury, but it definitely has a high "cool factor" and people seem to like it. In Stockholm, you can check out http://www.trehotell.se/ -- the Victory (as mentioned by a previous poster) is the nicest of the three, although the rooms are small it is a lovely hotel, albeit a bit touristic. The Leijontornet restaurant at the Victory is also worth a visit for a nice meal.