Choose the right country - Denmark is WAY more expensive than the others; Norway and Iceland are also more expensive. I'd go for Sweden or Finland.
Rent a house - houses/cottages are SO much cheaper to rent than here, however, do not expect luxury: Swedish cottage renting traditionally involves 'going back to nature' and living frugally. Today there are obviously all sorts, but when I see what people expect here when they rent, it's a different kettle of fish... So check what you'll get etc.
The very cheapest option is actually to swap homes - you can find people who want to go everywhere, so even if you don't think your home/area is particularly interesting, it will be to some people! Check out peoplelikeus.world or homeexchange e.g.
In Sweden most areas do a 'summer travel deal' whereby you pay a very small amount of money and can then travel as much as you want on local trains and buses as you want. E.g. in the south of Sweden this summer it was about £50 for 2 months' travel - loads of things to explore. If you had a week there for example, I'd choose to either live in a city (probably Malmö, with walking/cycling distance to a beach), and then explore quaint towns (Ystad (Wallander), Simrishamn, Skanör) by bus/train; and nature too (Kullen, Skäralid, Österlen).
Alternatively, if you want a very water focused time, I'd go to Blekinge (south-east) and go island hopping in the Blekinge archipelago. Check out the cabins here - you'll be literally on a beach, it's a UNESCO world heritage town and the archipelago is just as beautiful as the Stockholm one (but fewer tourists). Also do explore Kalmar if you go there :-)
Stockholm's archipelago is fantastic too, but Stockholm is generally a tad more expensive.
If you have any specific questions I can help with just let me know.