What's with Norway?

To be fair, Stellan Skarsgard is from one of the countries in the Norse Bloc (Sweden.)

 

Well, Thor, of course, is based on the Norse god Tor, worshipped in that part of Europe through the Viking Era. In the films, they are presenting the Asgardians as incredibly powered extraterrestrial beings that might well have visited Earth in the past and inspired the myths. So it's natural that they would reference visits to somewhere in Scandinavia. Why they specifically chose Toensberg for the two scenes you mention, and Tromsoe for where, we are told, Jane has been relocated in The Avengers, I'm not certain. Maybe they chose them simply because they are Norwegian towns that have the "ø" (oe) letter in their names.

Skarsgaard's character Erik Selvig is presented as having Scandinavian heritage (e.g., he says he heard the stories of Thor and Co. as a child), though not more specifically than that.

As to why they haven't set more of the film there, there may be business reasons (such as tax credits) that explain it. Part of Thor: The Dark World has been filmed in Iceland, however.

 

someone told me about this country and I was all "nor waaaay" and they were all "yes waaaay"

 

i was in norway this year and i believe someone told me tonsburg is the oldest city in norway or something like that. so it makes some sense to have that viking scene take place there. the captain america scene was probably there just to connect it to Thor better

 

A little known fact is that before Paramount gave the film a 25% budget increase, the prologue was going to be set in Norway, Wisconsin.