Q:

Can i use Swedish characters like ö or å in a url? 

I am using mod_rewrite to append the title to a URL like this.  
http://www.example.com/3453/göra-innehållet-sökbart-på

Will it create any problem if I use Swedish characters or words in my URL for making it SEO friendly? 

A:

From an SEO point, no it won't create any problem.  
But if you call you pages using swedish characters in your URLs like this, it will output URL encoded characters. ( it's like using the url_encode(); PHP function  ). 
In short :
http://www.example.com/3453/göra-innehållet-sökbart-på

Will become :
http://www.example.com/3453/g%c3%b6ra-inneh%c3%a5llet-s%c3%b6kbart-p%c3%a5

In Germany, they replace special characters in the URLs like this :
ä ->ae
In France
ç -> c
...
From a reading point of view, it would be better to rewrite your special characters.  From an SEO point of view, it doesn't really matters.