Only first author on the list is truly "first". The rest are not in favourite order of any kind:
First "discovered" them via Henning Mankell in '02. Any of his books would be #1 choice to start (esp. chronologically with Kurt Wallander titles)
Recently decided to try Stieg Larrson and his immensely popular Millenium trilogy. They are good; have only read first two so far. (one on a Kindle which was different) The Swedish movie adaptations are OK, but likely better than US versions.
Karin Fossum (Norwegian),
Arnaldur Indridason (Icelandic),
Yrsa Sigurdardottir (Icelandic),
Ake Edwardson (Swedish),
Hakan Nesser (Swedish) - Inspector VanVeetern series - very good.
Lisa Marklund (Swedish),
Karin Alvtegen (Swedish),
Jo Nesbo (Norwegian) - very good.
Just by sheer numbers, the Swedes are leading here.
These books tend to be darker explorations of society, much like in the Scottish crime writers' books.