I'd thought that 'the Nordic countries' and 'Scandinavia' were synonyms (if I'd thought about it at all), but it appears that the former term almost always includes Finland and Iceland, while the latter term often doesn't.
As Wikipedia says (referencing the brilliantly named Kenneth R Olwig):
"Scandinavia" has no official definition and is subject to usage by those who identify with the culture in question, as well as interpretation by outsiders who attempt to give the term their own meaning. The term is, therefore, often defined according to the conventions of the cultures that lay claim to the term in their own usage
The OED Online defines 'Nordic' (adjective) as "of or relating to Scandinavia, the Scandinavian people, or their languages", which doesn't really clarify the matter. I'm sure my Concise OED gives different definition, but I'll have to check when I'm back at work.