Colleen,
In Stockholm, definitely go to Drottningholm Slott, the "Versailles of Stockholm". It's a very nice trip out there too.
I second Donna's advice to see the Vasa museum. It's amazing and very interesting. The day trip to Moscow is maybe my top 1 or 2 travel memories. It's right up there with a very different one --- being the only couple on the Bora Bora motu.
We took a train about 30 km from Copenhagen to the Viking Ship Museum. Very cool if you like that sort of thing.