Well firstly, Finnish is completely different from the Scandinavian languages. It's more similar to Baltic languages, especially Estonian (as far as I know).
Vocally: On an average most people can understand each other if they speak really slowly, but there's a lot of key words in our sentences that differ, so if you don't already know a considerable part of these you will get completely lost in a conversation.
Written: Norwegians and Danes understand each other's written words perfectly (which is mostly due to our history as we were once united under one flag). Danish literacy was incorporated in Norway a few hundred years ago. Due to this, there's a minority(12%) of defiant people who speak the incredibly old Norwegian language called Nynorsk, which noone understands (maybe Icelandic or Faroese people? idk).
Swedish is a bit more different, but Norwegians and Danes are able to understand most written Swedish and understand the context. Same goes the other way around.
However, it's really easy to learn each Scandinavian language if you're already a native Scandinavian. Danish is most likely the hardest to learn, as we have huge amount of grammatical rules that doesn't have any perfect logic to it. This is especially true for our mathematical grammar. We also have just about as many silent letters as the French and vocally skip large parts of many words, while combining a lot of words as well.
TL;DR: Written, the majority can. Vocally, it's 50/50. A lot is understandable, a lot isn't. Many can, many can't.