Funny, I've been playing DF for under a month, just registered for the forum and immediately stumbled upon this thread.
Studying abroad in general: I've spent a semester in an university in Ireland and frankly found it the single most boring and useless experience of my life. But apparently I'm in a tiny tiny minority about this since the consensus seems to be that it is one of the best experiences you can have while in school.
Studying in Finland as a foreigner: As a rule, Finnish universities arrange enough courses in English for foreign sutdents to get enough credits without ever learning a word of Finnish. Such courses will be clearly indicated and the university will have staff advising you down the details, if need be.
On the other hand, integrating exchange students into the university community as a whole is somewhat limited. The number one problem is that because the university finds the exchange students flats, enclaves of foreigners are created. While that lessens the time you interact with Finns, on the other hand you'll find people facing the same little problems as you. Also, exchange students party even more than Finns and if the cops show up, the standard procedure is for everyone to pretend they don't know any Finnish and very little English.
And socialising with Finns is not impossible, you just have to make a bit of an effort to find and attend the clubs and language learning schemes the universities organize to get locals and foreing students together.
Language: Finnish has a reputation for being a difficult language but apparently that is because the structure is different from most European languages. The vocabulary greatly differs from English and stuff that most European languages do with prepositions is done by modifying and adding to the word (famous example: Istahtaisinkohan? = I wonder if I should sit down for a while?) That means that getting the hang of it is difficult at the beginning but once you get going, everything follows the same rules. However, unless you are very good with languages, you'll most likely learn just the very basics during your stay.