I live in Sweden. I share your general impression about the Scandinavian countries.
Our ethical and ideological standards seem to have been somewhat tarnished over the last decades, but I think the overall idea still seems to hold.

With regard to electronic surveillance Sweden does indeed have 'some serious espionage' going on. The expanded mandate for the FRA (one branch of Swedish intelligence service) has been mentioned several times in this thread. ISP:s and other providers of cable bound communications are obligated by law to send a copy of all communications to FRA. FRA has a mandate to monitor communications crossing the national borders. As HN readers will probably agree, it's not really feasible to make the distinction about borders at, so I surmise the arrangement must be one of collecting everything and filtering out the disallowed communications.
Sweden was early to build an extensive optic fiber infrastructure and as a result is a key area for European communications. Much of the information traffic of Northern Europe has a high chance of passing Swedish borders.

The current surveillance arrangement was legalized in 2008, under in my opinion scandalous conditions. Popular opinion, to the extent that people understood the issue, was strongly opposed to instating mass surveillance. Mass surveillance is arguably in violation of the Swedish constitution. Most referral organizations for the preparation of the law advised against it in no uncertain terms. The right wing coalition had plenty of internal opposition against the law (it comprises liberal parties, which are in many respects natural enemies of the surveillance state).
In spite of all this, the law was passed. The path there involved a lot of unpalatable things: The rhetoric was one usually reserved for wartimes, with a lot of scare about nebulous "external threats". Members of parliament for the dominant conservative party were told that voting against would be to "shoot at a conservative prime minister". Young and particularly liberal-minded members of the government parties (these were often people who had run for election on championing privacy and rights of the individual) had it made clear that their political careers would be very difficult from now on, should they choose to vote against the party line. One single such opponent voted against the law in spite of this, and another previously vocal opponent abstained from voting. The remaining ones turned to vote in favour of the bill, making it pass. The vote was placed as the last thing for the parliament to do just ahead of a major national holiday. There was a lot of unexplained urgency about passing the law /now/, to the point of 'let's pass it /now/ and we'll come back in the autumn season and amend the privacy protection'. There was numerous misrepresentations about how the system would work, what information would be gathered and the significance of the information, much like what we have been seeing from the NSA recently. (e.g outright ignoring legitimate concerns about privacy and trying to frame such concerns as quaint and uneducated. 'Nobody is going to read your email', and so on. (This one is /technically/ true in most cases -- if you are going to sift through the totality of a technologically advanced nation's data streams you don't do it by having people /read/ the contents. You push it through a supercomputer for analysis -- and yet it is effectively a lie to the uninitiated about what the issue is about))
I could go on about this for quite some time, but I think I have dwelt on this point enough for this format. For those who speak and read Swedish it may be interesting to review the news from around this time and in particular the parliament's session on the 17th. http://www.riksdagen.se/sv/Debatter--beslut/Debatter-och-bes...

To me, 18 June 2008 was the day Swedish democracy was ultimately subverted and my country was coerced to abandon the liberal and democratic ideals for which it has long been a bright example.

The current government of Sweden is in terms of political parties the same as it was in 2008. They rose to power arguably in no small part due to skilful spin doctoring and restyling of the conservative party as a party for the regular citizen rather than the elites. In practice the differences between these 'new' conservatives and the old ones has been small.
There are parallels in style to the "compassionate conservatism" of George W. Bush, and these parallels are probably not coincidental. I have seen it claimed that Karl Rove was the one who advised the campaign that established this current Swedish right wing government. Prime minister Fredrik Reinfeld liked to stress during the Bush era his good relation with Dubya and has described him in admiring words.
I seems to recall that parts of the diplomatic cables released by Wikileaks contains text to the effect that this Swedish government was considered 'cooperative' but had 'some difficulties with public opinion'. Perhaps someone more familiar with the diplomatic cables can clarify or elaborate.

My opinion is that the current Swedish government probably still has deep ties to the US government and is very anxious to be considered a valuable partner. The FRA mass surveillance infrastructure in Sweden would certainly make a valuable source of "signal intelligence" for the US and I would not be that surprised to see Sweden as deeply involved as Great Britain.
The Swedish people do not in general sympathize with the surveillance state, but many people seem to have a rather limited understanding of what has been done and the extent of how it could be used.