1) The soon to be trillion dollar sovereign fund, in a country of only 5.x million people. If you're going to be a hyper rich, very small nation, there will always be someone envious or potentially willing to threaten you - at least if we're considering history. The sovereign fund can move markets, seeing as it's one of the largest single pots of managed money on earth. Norway is also starting to get into the US oil market, with interest in the bakken; that will inherently draw the attention of US national security interests.
2) Natural gas and oil. These are understood, and are of meaningful strategic importance to Europe.
3) Large coastline, close to Russia. Norway has more land than Poland, and nearly as much as Germany. With only 5 million people, in Europe, that's a big deal.
Let's consider the case of a country of equal geographic size, with a large coastline, on the other side of the world: Vietnam.
Vietnam has 90 million people. So they have 18 times as many people as Norway, with an economy 1/3 the size of Norway. Has Vietnam been of interest to its neighbors and foreign powers in the past century? Big time. If a country like Vietnam can be so interesting, just imagine how interesting Norway is.
If this were 1933, and Norway had 5 million people, sitting on all that oil and natural gas, with a trillion dollar sovereign fund, they'd be a prime target. I think it's extremely naive to think history is over, when it comes to that sort of behavior, even though it's hard to imagine it coming from anywhere but Russia today (in Europe).