The difference between being Scandinavian and Nordic:
Although in the rest of the world the words "Scandinavian" and "Nordic" are happily used in similar manner and are interchangeable, in northern Europe they are not. Europeans love to magnify even the smallest difference between neighbouring countries and you will probably be corrected if you don't use the words in their appropriate context. The problem comes when even Europeans themselves can't agree on the meaning of "Scandinavian" and "Nordic"...
Where is Scandinavia:
Geographically speaking, the Scandinavian peninsula is the area shared by Norway, Sweden and part of northern Finland. In this view, the Scandinavian countries would therefore focus only on Norway and Sweden.
Linguistically, Swedish, Norwegian and Danish have a common word called "Skandinavien". That word refers to the ancient territories of the Norsemen: Norway, Sweden and Denmark. This definition is considered to be the most commonly accepted definition of "Scandinavia".
However, Iceland was also one of the Norsemen's regions. In addition, Icelandic belongs to the same linguistic family as Swedish, Norwegian and Danish. And so do the Faroe Islands. Therefore, you will find that many non-Scandinavian travelers connect Scandinavia to Sweden, Norway, Denmark, Finland and Iceland.
And finally, Swedish is used partially in Finland just as Finnish is spoken in Norway and Sweden. Again, this gives a new, wider, definition which includes Norway, Sweden, Denmark, Iceland and Finland.
Culturally and historically, the north of Europe has been the political playground of the kingdoms of Norway, Sweden and Denmark.
Finland was a part of the kingdom of Sweden, and Iceland belonged to Norway and Denmark. Besides a common history, politically and economically these five countries have followed a similar model known as the Nordic welfare state since the 20th century.
What are the "Nordic countries":
In such a state of linguistic and geographical confusion, the French came to help us all and invented the term "Pays Nordiques" or "Nordic Countries", which has become a common term to bring together Scandinavia, Iceland and Finland under the same umbrella.
The Baltic countries and Greenland:
The Baltic countries are the three young Baltic republics of Estonia, Latvia and Lithuania. Neither the Baltic countries nor Greenland are considered Scandinavian or Nordic. However, there is a close relation between the Nordic countries and the Baltics and Greenland: The Baltic republics have been strongly influenced, culturally and historically, by the Scandinavian countries.
The same applies to Greenland, a territory which is closer to America than to Europe, but that belongs politically to the kingdom of Denmark. Half of Greenland's historical and cultural heritage is Scandinavian and therefore these strong ties often bring Greenland together with the Nordic countries.