Hi Rahul,
Before I got my U.S. citizenship, I took a trip to Europe on a Schengen visa -- I imagine the application process is the same for Russian and Indian citizens :)
Typically, you need to apply with the country in which you will spend the most time; if you're spending the same amount of time in each country, then you apply with the country you enter first. I am unfamiliar with applying for a Schengen visa for non-consecutive stays in different countries, however -- on my trip, I stayed within the Schengen zone for about three weeks without leaving it. Your best bet, I think, would be to call the Greek and/or the Danish embassy and ask whether you need separate visas for each trip. Also, I don't know if it's the same in Europe, but Iceland does not have any consulates in the U.S. and you apply to Iceland through any European consulate here.