Copenhagen is my favorite city out of the Nordic capitals. But that's cool, I was just in Stockholm before Christmas. I might be in Oslo at some point during the summer to visit friends and possibly go to Řya. If you go there you should definitely walk around the Aker Brygge area at night
Yeah, it's not a bad choice. You can always drive across the border, just for a day, to either Norway or Denmark if you're down south Malmo and Copenhagen, which are beautiful cities, are just around the corner from each other, and Oslo is just a couple of hours or so from the Swedish border. That's best done by train though.