Thyra and Margrethe I, both mentioned above, were warrior queens.
Thyra, spouse of King Gorm, built (or at least reinforced) Dannevirke, a defensive installation for the protection of Danish lands against the Teutons, around 1000 CE. Incidentally Dannevirke was last used as intended as late as 1864.
Margrethe I, a ruling queen, united (for a time) Sweden, Denmark and Norway. She's known for the Stockholm Bloodbath where she lured the entire Swedish nobility with promises of free booze, then had them massacred.
Also, Scandinavian women appear to have had their rights, roles and responsibilities abrogated with the arrival of the faith of The White Christ in Scandinavia. Here's the Norwegian Wikipedia entry on Shield Maidens (you can feed it to Translate yourself). Shield maidens are in the sagas, and there's an acoount of several women in the army of Kiev at a 971 battle against Byzantium.
You're mostly right but I think you're mixing your facts a little when you say Margaret I was known for the Stockholm bloodbath. She created the Kalmar Union (as you said, a united Sweden, Denmark, Norway and also Finland since Finland was a part of Sweden) in 1397.
The Stockholm bloodbath was in 1520. She had been dead for over a hundred years by that point. She died in 1412 by the plague. The one responsible for the bloodbath was Christian II of Denmark. He is still known as Christian the Tyrant in Sweden.
