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In seriousness though, both can do it pretty easily, at least for the player. I have done it three times as Sweden but have seen AI Denmark do it as well. For Sweden you basically just have to get Poland to support your independence/ally you. Once they reach the Baltic (which they almost always will) the combined host of Poland, Lithuania and Moldavia will kill any and all of Denmark's allies. After the first independence war they will also make a great ally for taking on Muscovy/Russia, easily securing the eastern Baltic for you. Then you just wail on Denmark/Norway, take your missions and chip at them bit by bit. Pretty easy once the first war is out of the way.
For Denmark to form Scandinavia you basically do the very same thing. A player Denmark can easily secure an alliance with Poland, meaning there will be noone of worth that can help Sweden declare independence (The Teutons will get smashed by Poland, the Livonian Order is a joke, the Hansa maybe, Pommernaia or Scotland have other things to worry about). They might just declare independence anyway but you should have no problem taking Sweden on. Just make sure your prestige is high so the Union don't shatter diplomatically.
So in short its just a matter on who befriend Poland first, I could say that Denmark can do it easier early game but struggle middle-late game as it becomes surrounded by powerful states that prevent any way to expand. Sweden play a longer game, as it can easily expand and replace Russia if they can beat them early-game, opening up for Siberian conquest middle-late game.
As for the other countries that can form Scandinavia, Norway, it really have better things to do. Due to a loyal attitude to Denmark and being far inferior to Sweden/Denmark in every way it is the least likely country to be able to form it. Independence war is almost impossible, even if Sweden break free beforehand and help you, as you will just be stuck not being able to take either on. If you want to play as Norway go for the New World, leave snowy Scandinavia for Bahamas or Brazil or something like that.
As for Gotland, good luck you mad bugger if you attempt to form Scandinavia. Even if you play as a released vassal of Denmark you are a OPM, far away from the HRE, surrounded by powerful enemies who all want to eat your sorry ass. If you manage to take all of Scandinavia as Gotland I salute you, for you are clearly mad.
TL:DR: Denmark for early game formation, Sweden for middle-late game, Norway if you think Europe is a silly place and Gotland if you are utterly insane.
Anything else is quite standard, you can easily have Sweden be loyal from the very beginning up to the event with the rebels and you can easily deny Muscovy and Poland the possibilty to form their respective successors in the early game by taking Novgorod and Danzig.
All in all i would say Denmark is more chilled than Sweden but with less significant modifiers throughout the run. Both are equally easy campaigns though.
Edit: Lol, the necro, i just saw it as well.
Of course it is a crime against nature to change the beautiful red and white flag for Erik's disease coloured rag but we can't have it all.
Do Denmark first. No independence to declare. Good navy, safe position, underlings to fight with you.
Do Sweden next. A more challenging start, and you'll benefit from what you learned as Denmark