It's mostly neighbourly sibling hate/love. I must say I think there are quite some culture differences between Sweden and Denmark -- more so than between Sweden and Norway. The more south you come the more right wing people in general are. Skåne/Scania, southern Sweden, has the biggest nationalist parties, and Denmark has Dansk Folkeparti in the parliament, while Sweden has none. We sometimes call Skåningar "half-Danes", "give it back to Denmark" etc (it's been Swedish since the 1650's).
Also, Norweigans and Danes tend to understand Swedish, while many Swedes don't understand Danish at all. We say it's like speaking Swedish, but with a hot potato in each cheek. As I said, it's like siblings, we're the same family but we nag each other...