In Copenhagen I recommend Hotel Front http://www.hotelfront.dk/
Not comparable with Four Seasons, etc but my favorite in the city; comfortable, chic, and nicer than many of the hotels labeling themselves as "luxury".

When I need a hotel in Stockholm, my hometown, I would recommend the Sheraton or the boutique hotel Rival in Mariatorge since there really aren't too many exciting options. The design hotels Nordic Light and Nordic Sea are pathetic.