In Marvel's movies about the Avengers there are several references to Norway. Both the Tesseract (Captain America) and The Casket of Ancient Winters (Thor) are found there. Also in The Avengers movie Jane Foster is relocated to a northern town in Norway, and Erik Selvig could definitely be of Scandinavian origins (he is even played by a Swede). So is there any particular reason why Norway is so often mentioned? It is a small and, for some, unheard of country, so I though it curious.
Because Thor (and Loki, the Asgard, and everything else from the Thor universe) comes directly from Norse mythology. As Norse mythology originates from Scandinavia, it wouldn't make any sense for it to not be heavily featured.
As to why Norway is featured more heavily than other Scandinavian countries; there are a few points that I can think of:
I'd like to reiterate that the above three points are my own hypotheses.
It's hinted pretty strongly in the first Thor movie that the original mythology about the Norse Gods was inspired by actual visits of the Asgardians to Earth hundreds of years ago.
For example, the following quote by Fandral:
Since Norse mythology originated in Scandinavia, it would make sense that these visits were to that area - and the Avengers movie universe seems to imply they were to Norway in particular. It would therefore make sense that the artifacts the Asgardians left behind (the Tesseract and the Casket of Ancient Winters) would be found in Norway, since that's the region they visited.
Erik Selvig, being Scandanavian, is familiar with Norse mythology, and even shows a book about Thor and Loki to Jane to try and convince her how ridiculous it sounds to say Thor is an actual God, which leads Jane to this same conclusion: