First of all, let me say that it's a moot point what the Finnish alphabet really is. Presented here is the alphabet as used for native words. The official alphabet in use is the same as Swedish. (Swedish is the second official language of Finland).

The 'Native' Finnish alphabet is borrowed heavily from Roman:

The meaning of front and back vowels is covered in vowel harmony.

21 letters in dictionary order: adeghijklmnoprstuvyäö

Notes:

  • d was introduced in the 18th or 19th Century.
  • b,g appear in foreign loan-words, and are pronounced as their lending language.
  • z, named tseta, appears in foreign loan-words, and is pronounced 'ts' similarly to German.
  • Due to the Finns' lack of aspiration, p, k and t may sound similar to b, g and d to English ears.
  • Consonants and vowels may be long, and this is denoted by simply writing the letter twice. (eg. Hyvää päivää = Good day)
  • The Finnish word for Alphabet is Aakoset - the plural of Aakonen.

(Thanks to sakke, gn0sis, vuo and omegas for info.)