Others mentioned not being too close to any houses. The second part is, you are not allowed to damage anything. Leave it as you found it. No trash, no damaging plant life, and so on. Also, exact rules differ from country to country, but generally the Nordics follow "everyman's rights" something like this:
You cannot make a campfire, drive off-road, damage agricultural fields, cut down trees or damage trees (even the already fallen ones), go into pastures with cattle in them, and so on. Rule of thumb, don't bother the landowner, don't damage anything, and don't disrupt any of their income sources, including logging, fishing, agriculture etc. You can camp but if you want a campfire I suggest going to one of the designated camping areas; there's plenty of those too, even completely free log lean-tos and benches around a firepit and even free firewood hauled in, if you go remote enough.
And then there's protected areas, with stricter rules. For example, if a rare bird is known to nest on some specific island, you might not be allowed to go on that island at all.
But yes, if you're smart about it, you can camp almost anywhere.