Check the prices on delivery/dropoff. Some cities have substantial surcharges---$500 to $1,000. My wife and I picked ours up in Goteborg(no surcharge and a cool tour of the facility) and drove south to Denmark. A bridge was opened 3 weeks before we got there that links Sweden & Denmark. You can read about it at http://www.oresundskonsortiet.com/.
It was an easy drive(on the right side of the road) all throughout Scandinavia, and most people speak english. However, if you want to get to mainland europe quickly, take the ferry. It leaves Goteborg at night and arrives in Germany the next day. Volvo even offers a dicount on one of the ferry lines.
Main roads are good although very slow and tight in Norway. Remember, the S80 is a big car by American standards, much less european. It is hard to park in many of the old city centers. Talk about fear of door dings! We usually drove to a hotel(check to make sure they have parking) and left the car for a day or so.
OSD is a great way to buy a car. Would do it again. The only downside is waiting 3-5 weeks for your car to get back to the states.
Good luck. Let me know if I can answer any more questions.