Itinerary advice: Stockholm to Helsinki to St. Petersburg to Tallinn to Copenhagen. ARGHH!!! Help???

You will probably want to fly at least some of the legs; in this part of Europe, flights are used more, and trains less, than further south. And since SAS and Norwegian and Finnair (and their various affiliates) compete on many routes, prices need not be high.

Look at Skyscanner for options: https://www.skyscanner.com/

For St. Petersburg, if you don't want to get a visa, investigate the visa-free cruises with the St. Peter Line from Helsinki: https://stpeterline.com/visa-free-rule. Remember that if you don't take this cruise and follow their rules, you WILL need a Russian visa, which takes time, money and hassle to get (people do get them, of course, but I want you to be prepared).

There are no special safety concerns about St. Petersburg for visitors (any more than any other city of 5 million or so). Finding your way around can be a bit tricky; if you aren't taking the St. Peter Line and are going on your own, you should learn the Cyrillic alphabet so you can decipher signs, or you'll be miserable. I found the book Teach Yourself The Cyrillic Alphabet invaluable. Here's the newer version, called Read Aand Write Russian Script: https://www.amazon.com/write-Russian-script-Teach-Yourself/dp/144410392X

I can help with some of this. From Stockholm to Helsinki, definitely take the overnight ferry (in actuality more like a cruise ship). Prices are pretty reasonable for a "steerage" class type of room: a windowless cabin in the bowels of the ship. Silja and Viking are the two main lines. The nice thing about this is the views of the archipelago as you leave Stockholm. Several hours worth. Eat dinner in the first sitting and then spend the evening on deck watching the late sunset and islands pass slowly by.

From Helsinki to Tallinn is an easy ferry ride. There are high speed and low speed ones; take the low speed if you want to save money (sometimes the high-speed is just as slow if the weather is rough).

Fly from Helisinki to Copenhagen.

St. Petersburg is probably best done with a cruise/ferry line. They definitely offer 72 hour cruises but check to see if they have shorter ones for a one day visit. Doing it this way, they allow for the 72 hour tourist visa and no hassles for you. Getting a Russian visa is a PIA.

Thanks very much. This pretty much reinforces what I thought, but it's always good to have a second opinion.

We faced this same itinerary problem.

our solution was to eliminate Denmark from our trip (would have made the whole range of our trip a bit too far).

Doing Helsinki - Tallinn - Stockholm (overnight cruise) - Oslo - Bergen - Oslo