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:
- Etymologically speaking "Norway" and "Norse" are very closely related. This makes it easier to make the connection than with Sweden and Denmark.
- As Norway is further from mainland Europe than Sweden and Denmark, Norse religion was more freely practised there. Denmark and Sweden often suffered more invasion and integration from the likes of Saxons, Finns, Russians, Germans etc.
- Most of our (meaning the English-speaking world; of which Hollywood is a part) knowledge of Norse mythology comes from the invasion of the Vikings into Britain, and the subsequent relationship between the UK and Scandinavia. Due to the geographical location, invasions originating from Norway were more frequent than those originating from Sweden. Additionally, the UK has had stronger relations with Norway than with other Scandinavian countries.
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:
Thor: We're going to Jotunheim.
Fandral: What? This isn't like going to Earth, where you summon a little lightning and thunder and the mortals worship you as a god! This is Jotunheim!
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:
Jane Foster: [about the mythology book] Where'd you find this?
Erik Selvig: The chidren's section. I just wanted to show you how silly his story was.
Jane Foster: But you're the one who's always pushing me to chase down every possibility, every alternative.
Erik Selvig: I'm talking about science, not magic.
Jane Foster: Well, "magic's just science we don't understand yet." Arthur C. Clarke.
Erik Selvig: Who wrote science-fiction.
Jane Foster: A precursor to science fact!
Erik Selvig: In some cases, yeah.
Jane Foster: Well, if there's an Einstein-Rosen bridge, then there's something on the other side. And advanced beings could have crossed it!
Erik Selvig: Oh, Jane.
Darcy: A primitive culture like the Vikings might have worshiped them as deities.
Jane Foster: Yes! Yes, exactly. Thank you.