The issue has always fascinated me and that has indeed caused me to do some research over the years.
I plead guilty.
Why my focus on Denmark? Because while there are broad cultural similarities amongst the Scandinavians there are distinct differences as well.
Estonia and Finland have a very strong Swedish influence. Denmark and Norway are similar but different. Latvia and Lithuania are tied to Poland and Ukraine as much as to the Baltic .... etc.
Why Denmark? Personal preference. I like their balance of things. Their ability to engage both a full time military, maintain the elements of a conscription system that is widely supported - precisely because it doesn't resort to coercion and is maintained by the willing contribution of volunteers.
And part of that ability to maintain a voluntary basis is that part of the load of national defence is carried by citizens willing to learn skills that help their neighbours in peacetime as well as supplying them with skills that could be useful if the unthinkable happens again.
How do the Danes make it work?
Free time.
5 weeks annual vacation for starters. If you are young and single and have 5 weeks paid vacation every year you can afford to give up 3 weeks to go to a military boot camp for a bit of fun and excitement.
If every village has its own community centre and sportshalle it is easy to find places to gather and listen to interesting lectures and enjoy some companionship with your buddies and neighbours. It is easy to find compounds to store civilian vehicles for emergency use.
There is also the "cool factor" associated with volunteering for rapid reaction elements and being allowed to keep your rifle at home.
More free time comes from limitations on work hours and free education.
In short, there is a lot to unpack there in terms of the way they have organized their society that has created a very interesting balance. Yes their taxes are high. But they get a lot of tangible benefits in return.
And I haven't come across many Danes that aren't proud of their countrry.
And you're not wrong. I can get prickly.