The Kingdom of Denmark is the geographical link between Scandinavia and Europe. Half-timber villages and tidy farms rub shoulders with towns and a few cities, where pedestrians set the pace, not traffic. In the capital, Copenhagen—København in Danish—mothers safely park baby carriages outside bakeries while outdoor cafés fill with cappuccino-sippers, and good looking Danes pedal to work in lanes thick with bicycle traffic. The town was a fishing colony until 1157, when Valdemar the Great gave it to Bishop Absalon, who built a castle on the site of what is now the parliament, Christiansborg. It grew as a center on the Baltic trade route and became known as købmændenes havn (merchants' harbor) and eventually København.

In the 15th century it became the royal residence and the capital of Norway and Sweden. From 1596 to 1648 Christian IV, a Renaissance king obsessed with fine architecture, began a building boom that crowned the city with towers and castles, many of which still stand. They're almost all that remain of the city's 800-year history; much of Copenhagen was destroyed by two major fires in the 18th century and by British bombing during the Napoleonic Wars.

Today’s Copenhagen has no glittering skylines and little of the high-stress bustle of most capitals. The morning air in the pedestrian streets of the city's core is redolent of baked bread and soap-scrubbed storefronts. If there's such a thing as a cozy city, this is it.

Although much nearer to Sweden, the island of Bornholm has been a Danish possession since 1522 and was once an important Baltic trading port. Today, the islanders make their livelihood from fishing, farming and, increasingly, tourism. Visitors from Scandinavia and Germany flock to Bornholm and the town of Rønne each summer to enjoy the scenic beauty. The south features a coastline of white sand beaches, while the north boasts rugged cliffs; the wooded interior is crisscrossed by hiking trails. Visitors and residents alike have come to appreciate the freshly smoked herring prepared in special smokehouses, a great source of income to boost the local economy. This intriguing, unusual island is especially known for its round churches, which were constructed centuries ago as fortifications against attacks by pagan invaders and pirates. At the northern tip of the island, on one of Bornholm’s steep seaside cliffs are the remains of the 13th-century Hammershus Castle, boasting fine views over the coast. The island’s main town is Rønne. With 15,000 inhabitants, it is a busy place where ferries arrive daily from Copenhagen. Many of Bornholm’s attractions are scattered throughout the island. Rønne is an ideal starting point for exploring the lovely countryside dotted with idyllic farms, ancient churches and rustic herring smokehouses.

Maybe it's the sea air, or maybe it's the mixture of the city's cultural importance and political tumult. Whatever the reason, Gdańsk is special to Poles—and to Scandinavians and Germans, who visit the region in great numbers. From 1308 to 1945, this Baltic port was an independent city-state called Danzig, a majority of whose residents were ethnic Germans. When the Nazis fired the first shots of World War II here on September 1, 1939, they began a process of systematic destruction of Poland that would last for six years and leave millions dead. Nevertheless, in 1997 Gdańsk celebrated its 1,000th year as a Baltic city.

It remains well-known as the cradle of the workers' movement that came to be known as Solidarność (Solidarity). Food-price increases in 1970 led to the first strikes at the (former) Lenin Shipyards. The Communist authorities put down the protest quickly and brutally, killing 40 workers in December of that year. Throughout the 1970s, small groups of anti-Communist workers and intellectuals based in Gdańsk continued to organize. By August 1980, they had gained sufficient critical mass to form an organization that the government was forced to recognize eventually as the first independent trade union in the former Soviet bloc. Although the government attempted to destroy Solidarity when it declared martial law in December 1981, union activists continued to keep the objectives of democracy and independence from the Soviet Union alive. After the collapse of the Soviet bloc in 1989, Solidarity leader Lech Wałęsa became president of Poland in the nation's first free elections since World War II.

The historic core of this medieval city can be explored easily on foot. Although Gdańsk was almost entirely destroyed during World War II, the streets of its Główne Miasto (Main Town) have been lovingly restored and still retain their historical and cultural richness. North of the Main Town, the Stare Miasto (Old Town) contains many newer hotels and shops, but several churches and the beautifully reconstructed Old Town Hall justify its name. At the north end of the Old Town sit the shipyards. This site, which captivated world attention during the many clashes between workers and militarized police units during the 1970s and '80s, has now settled back into its daily grind, and the shipyards struggle to make the adjustment to the free market.

Having come to Gdańsk, it would be a crime not to explore the Tri-City further, particularly when it is so easy. Just hop on a commuter train and head northwest to Gdańsk's suburb of Oliwa, which has an amazing cathedral; farther north is Sopot, with its high-life resort atmosphere, and Gdynia, which has some wonderful ships moored in its docklands.

Lithuania's only seaport (and third-largest city) is also one of the few ports in the eastern Baltic area to remain ice-free year-round. That quirk of nature has always kept Klaipėda's economy humming since the city was founded in 1252, though for most of that period it was known by its German name, Memel. The Livonian Order of Teutonic Knights first settled the area, completing a fortress and christening it and the town Memelburg, later shortened to Memel. For most of its history, Memel was an important eastern Prussian and later German outpost (and for a brief period during the Napoleonic wars it was even the capital of Prussia). The city became part of Lithuania in 1923 and, after a period of further German occupation before and during World War II, it once again returned to Lithuania. The architecture of the city may appear more German than anything else, especially if you walk in the Old Town, where many of the buildings are in the Fachwerk style where the walls are framed with small squares. Over the river Danė, across the wooden bridge, you will find moats and fortifications of a 17th-century bastion, today used mostly by fishermen. The city's proximity to the Curonian Spit makes nature just a short trip away. Although many buildings in Klaipėda were damaged during World War II (and most of the damaged churches demolished by the Soviets afterward), many good examples of historical half-timbered architecture remain in the Old Town, which begins at Theatre Square, not far from the cruise terminal. The center is fairly small and very walkable, so it's easy to get around to see most of the sights.

Rīga has an upscale, big-city feel unmatched in the region. The capital (almost as large as Tallinn and Vilnius combined) is the business center of the area while original, high-quality restaurants and hotels have earned Rīga some bragging rights among its Western European counterparts. The city also doesn't lack for beauty—Rīga's Old Town (now a UNESCO World Heritage site) is one of Europe’s most striking examples of the art nouveau architectural style. Long avenues of complex and sometimes whimsical Jugendstil facades hint at Rīga's grand past. Many were designed by Mikhail Eisenstein, the father of Soviet director Sergei. This style dominates the city center. In many ways, the wonder of Rīga resides less in its individual attractions and more in the fabric of the town itself. In the medieval Old Town, an ornate gable or architrave catches the eye at every turn. The somber and the flamboyant are both represented in this quarter's 1,000 years of architectural history. Don't hesitate to just follow where your desire leads—the Old Town is compact and bounded by canals, so it's difficult to get totally lost. When the Old Town eventually became too crowded, the city burst out into the newer inner suburbs. The rich could afford to leave and build themselves fine fashionable mansions in the style of the day; consequently, city planners created a whole new Rīga. Across the narrow canal, you'll find the Esplanāde, a vast expanse of parkland with formal gardens and period mansions where the well-heeled stroll and play. Surrounding this is the art nouveau district. Encompassing avenues of splendid family homes (now spruced up in the postcommunist era), the collection has been praised by UNESCO as Europe's finest in the art nouveau style. The best examples are at Alberta 2, 2a, 4, 6, 8, and 13; Elizabetes 10b; and Strēlnieku 4a. If the weather permits, eschew public transport and stroll between the two districts, taking in the varied skylines and multifaceted facades, and perhaps stopping at a café or two as you go. The city has churches in five Christian denominations and more than 50 museums, many of which cater to eclectic or specialist tastes.

Estonia's history is sprinkled liberally with long stretches of foreign domination, beginning in 1219 with the Danes, followed without interruption by the Germans, Swedes, and Russians. Only after World War I, with Russia in revolutionary wreckage, was Estonia able to declare its independence. Shortly before World War II, in 1940, that independence was usurped by the Soviets, who—save for a brief three-year occupation by Hitler's Nazis—proceeded to suppress all forms of national Estonian pride for the next 50 years. Estonia finally regained independence in 1991. In the early 1990s, Estonia's own Riigikogu (Parliament), not some other nation's puppet ruler, handed down from the Upper City reforms that forced Estonia to blaze its post-Soviet trail to the European Union. Estonia has been a member of the EU since 2004, and in 2011, the country and its growing economy joined the Eurozone. Tallinn was also named the European City of Culture in 2011, cementing its growing reputation as a cultural hot spot.

A city of the sea, Helsinki was built along a series of oddly shaped peninsulas and islands jutting into the Baltic coast along the Gulf of Finland. Streets and avenues curve around bays, bridges reach to nearby islands, and ferries ply among offshore islands.

Having grown dramatically since World War II, Helsinki now absorbs more than one-tenth of the Finnish population. The metro area covers 764 square km (474 square miles) and 315 islands. Most sights, hotels, and restaurants cluster on one peninsula, forming a compact central hub. The greater Helsinki metropolitan area, which includes Espoo and Vantaa, has a total population of more than a million people.

Helsinki is a relatively young city compared with other European capitals. In the 16th century, King Gustav Vasa of Sweden decided to woo trade from the Estonian city of Tallinn and thus challenge the Hanseatic League's monopoly on Baltic trade. Accordingly, he commanded the people of four Finnish towns to pack up their belongings and relocate to the rapids on the River Vantaa. The new town, founded on June 12, 1550, was named Helsinki.

For three centuries, Helsinki (Helsingfors in Swedish) had its ups and downs as a trading town. Turku, to the west, remained Finland's capital and intellectual center. However, Helsinki's fortunes improved when Finland fell under Russian rule as an autonomous grand duchy. Czar Alexander I wanted Finland's political center closer to Russia and, in 1812, selected Helsinki as the new capital. Shortly afterward, Turku suffered a disastrous fire, forcing the university to move to Helsinki. The town's future was secure.

Just before the czar's proclamation, a fire destroyed many of Helsinki's traditional wooden structures, precipitating the construction of new buildings suitable for a nation's capital. The German-born architect Carl Ludvig Engel was commissioned to rebuild the city, and as a result, Helsinki has some of the purest neoclassical architecture in the world. Add to this foundation the influence of Stockholm and St. Petersburg with the local inspiration of 20th-century Finnish design, and the result is a European capital city that is as architecturally eye-catching as it is distinct from other Scandinavian capitals. You are bound to discover endless engaging details—a grimacing gargoyle; a foursome of males supporting a balcony's weight on their shoulders; a building painted in striking colors with contrasting flowers in the windows. The city's 400 or so parks make it particularly inviting in summer.

Today, Helsinki is still a meeting point of eastern and western Europe, which is reflected in its cosmopolitan image, the influx of Russians and Estonians, and generally multilingual population. Outdoor summer bars ("terrassit" as the locals call them) and cafés in the city center are perfect for people watching on a summer afternoon.

Stockholm is a city in the flush of its second youth. Since the mid-1990s, Sweden's capital has emerged from its cold, Nordic shadow to take the stage as a truly international city. What started with entry into the European Union in 1995 gained pace with the extraordinary IT boom of the late 1990s, strengthened with the Skype-led IT second wave of 2003, and solidified with the hedge-fund invasion that is still happening today as Stockholm gains even more global confidence. And despite more recent economic turmoil, Stockholm's 1 million or so inhabitants have, almost as one, realized that their city is one to rival Paris, London, New York, or any other great metropolis.

With this realization comes change. Stockholm has become a city of design, fashion, innovation, technology, and world-class food, pairing homegrown talent with an international outlook. The streets are flowing with a young and confident population keen to drink in everything the city has to offer. The glittering feeling of optimism, success, and living in the here and now is rampant in Stockholm.

Stockholm also has plenty of history. Positioned where the waters of Lake Mälaren rush into the Baltic, it’s been an important trading site and a wealthy international city for centuries. Built on 14 islands joined by bridges crossing open bays and narrow channels, Stockholm boasts the story of its history in its glorious medieval old town, grand palaces, ancient churches, sturdy edifices, public parks, and 19th-century museums—its history is soaked into the very fabric of its airy boulevards, built as a public display of trading glory.