Played around with Ironman mode finally. Started in 867 as Harald Fairhair, Jarl of Ostlandet. 100 years later, I'm a Viking Emperor of a Norse Scandinavia.
Booyah. Best of all was how I formed it -- united Norway quickly, then tried to find a way to cripple Svithod/Sweden before it could unify and pose a threat. Thankfully, the Danes took care of that, breaking them into small enough chunks for me to conquer over a decade or two. Unfortunately, the Danes then became my major stumbling block.
King Gorm "the Wise" of the Danes converted to follow the guy in Rome with the big hat, then unwisely chose to try to attack my lands while I was across the Bay of Bothnia with my 2000-strong household guard, conquering the Finns. I raised all my armies, which matched the Danes but found themselves ill-led and badly beaten in southern Sweden. Despite that, the battles and the Swedish winter took their toll on the Danes. Then my mighty king (Jedvard the Confessor -- an odd name considered he remained an ardent Norse Pagan) and his retinue returned from annexing the Kakisalmi, and utterly crushed the Danish army. They pretty much never recovered after that.
Eventually, Jedvard had enough territory to form the crowns of Finland and Sweden. But knew that if he did, gavelkind would see the three kingdoms sundered from each other. So instead it was just a really big Norway, until I gained just enough territories to leave me 5 shy of forming Scandinavia. The Jarldom of Smaland had remained independent and held 5 counties. By this time, Jedvard was 56 and infirm. Yet he still went abroad with his retinue, pillaging from Bremen to Ireland to fill his coffers. Returning, he became incapable and his wife made regent. As he lay dying, he gathered his jarls and had himself crowned king of Sweden and Finland, then sent emissaries to the Jarl of Smaland, demanding his allegiance. As a fellow pagan and de jure vassal of the Swedish crown, he happily assented.
With those five counties added to his demense, he then crowned himself Jedvard I, Emperor of the North (Nordkeiser?), King of the Northmen, of Svithod, and of the Finns.
And promptly died two days later, leaving a united Scandinavia (and kingship of the Finns) to his third son, and the crowns of Norway and Sweden to his late first son's son. (I'm not sure what the hell happened to his second son to knock him out of line for the inheritance...something that happened when I created a vassal Merchant Republic in Estonia).
It was a serious race against the clock to get everything in place to create Scandinavia in one fell swoop, otherwise I'd have had to wait years for his son to have enough piety to pull it off.
Now my next goal is to raise a Viking storm and retake Zeeland and Braunschweig in the name of Odin, so that Norse's religious authority goes up enough for me to start unconverting Danish lands. My overall goal is to retain a united Norse Pagan empire and export it into EU4 as the Fylkirate. Maybe add Britain to my lands while I'm at it. And prevent Russia from ever becoming a power (already took Novgorod), and Ruthenia is still a pagan powerhouse.