Originally from French ("Pays Nordiques"), the term was at first used of "northern" (European) countries in general. Nowadays the term has become established as referring exclusively to Sweden, Denmark, Norway, Finland and Iceland.

In the Nordic languages there is a term Norden (or "Pohjola", "Pohjoismaat" in Finnish) which is commonly used of the five Nordic countries.

(from soc.culture.Nordic FAQ)