We have visited all three countries and enjoyed each one.
We have been to Denmark three times, Norway twice and Sweden once.
For fantastic scenery, Norway wins hands down. Norway is a mountainous country with fjords that are just amazing.
I strongly recommend taking a cruise up the coast of Norway, if possible all the way to the North Cape.
We did that in 2019 and loved it. We stopped in six ports and all were great, especially, Geiranger, Flan and Alesund. Bergen is great as well (we did that on another cruise).
Royal Caribbean, NCL and other cruise lines have great cruises. Ours started in Copenhagen.
Denmark is a great trip and has a lot to see, be sure to visit the countryside outside Copenhagen as well as the city. Don't miss the Viking Museum outside that city.
Stockholm is a great city and loved the Vasa Museum. The Vasa is a virtually intact wooden 350 year old ship that floundered after launch and was preserved in the harbor until removed and a museum built for it.
Scandinavia is expensive, especially Norway. I remember visiting Norway the first time on a cruise and a beer cost $10 and on that same trip we visited Portugal where a beer was a little over $1.
Taking a cruise helps with costs, since you have meals and lodging covered by the cruise ship. Still, if you do a cruise, plan a land trip prior to or after your cruise. I think our cruise was 11 days.