Just how cold is Scandinavia in Spring?

I'm packed and ready for the first long vacation since my daughter's birth.  I don't know a lick of the language in any of the three countries I'll be visiting, and for some reason I'm preoccupied with the question of just how cold it will be upon my arrival on May 16th.  When I told a coworker from Denmark about my trip, he had only two comments: 1) "You're going to miss the best country," and 2) "Oh, it's going to be COLD there when you go!"  Granted, this coworker currently lives in Portland, Oregon, so it's quite possible his tolerance for frigidity has dipped over the last half decade.  I guess if my worst concern is having adequate sweaters packed, then I have nothing really to worry about.  My wife also reminded me that they do, in fact, sell clothing in Scandinavia should I find myself in need.