If you are looking for a white christmas, that is not guarantied. Weather wise, Stockholm will be the coldest and have the highest likelihood of snow and keep in mind that daylight hours are limited. Denmark and Copenhagen has a relatively mild climate despite being as far north as Moscow. Chances are it will be wet, grey and dark for the most of the time, so be prepared to spend plenty of time indoors with something warm to drink :-)
Almost everything will be closed from dec. 24 to 26 and keep in kind that Scandinavians celebrate Christmas on Christmas eve on the 24th. There will be some christmas markets, but it is no way near as big as in Germany. The most notable one in Copenhagen is in Tivoli and Stockholm has one the old town square in Gamla Stan.