Is taxation actually higher in the Nordic countries for entrepreneurs?

If you bootstrap yourself to $100k as a 1-man company in the Valley, the taxes come out to something like:

    $7,000 CA income tax
   $14,000 self-employment payroll tax
   $16,000 federal tax (after deducting eligible portions of the above two)
   -------
   $37,000 (37%)

In Copenhagen, it would come out to [1]:

    $8,000 labor-market contribution (AM-bidrag)
   $24,000 municipal tax (kommune + healthcare tax)
    $7,000 national tax (grundskat+topskat)
   -------
   $39,000 (39%)

The tax is 2% higher, but the Danish version of the healthcare tax buys you healthcare coverage starting now, while the American one only buys you Medicare in the future. So I think you actually come out ahead in the Danish system.

[1] http://www.tax.dk/beregn/skat13.htm