This article is from the Nordic countries FAQ, by Antti Lahelma and Johan Olofsson, with numerous contributions by others.
[ Lennart Regebro writes: ]
Norway and Iceland don't allow pornography, but through the years the
definition of what is pornography has got more liberal.
Sweden has one of the world's best protections for Freedom of Speech,
which made it hard to outlaw pornography. Thus, Sweden got its
reputation of being the land of free sex, because in Sweden you could
actually make porn magazines.
Some time during the sixties, Denmark removed its laws prohibiting
pornography, and became a mecca for Nordic porn. It still is in many
senses. For example, the view on "unusual" sex seems much more relaxed
in Denmark. Sado-Masochism seems pretty accepted, for example,while it
in Sweden seems to be taboo. There is even a law against distrubuting
"violence-sex", something that seems to be aimed against
sado-masochistic pornography.
Sweden (just like Denmark) doesn't allow distribution of
child-pornography. Although you legally can own it, the police can
take it, if it is evidence for child-misuse. Owning it is not an
offense, although the law in Sweden is proposed to change on that
point. [ someone else: ]
Finland has its own major contribution to the porn industry in the
famous (and newly deceased) artist Touko Laaksonen (alias: Tom of
Finland), who from the 1940s and forward published a lot of often
overt erotic drawings of Nordic males as forest workers, bikers,
firemen and policemen with pretty faces, huge dicks, and a shameless
amount of appetite for each other.
 
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