It's almost as if there's some unifying design element stemming from an incredibly powerful political force during the time a lot of the countries stem from, but I'll be cross if I can see it.

Denmark was the first to get their flag, obviously based on Christianity. The red and white colours obviously represent love and innocence and all that good moral Christian jazz. Sweden was second, and the yellow and blue comes from the traditional Swedish coat of arms, which is three golden lions on a blue background. Sweden and Denmark were archrivals and their current flag first appears soon after Sweden broke out of a personal union with Denmark, so I guess taking the Danish flag and replacing the colours with the Swedish ones was a way for Sweden to signify itself as separate but equal to Denmark. After that I guess the cross design kinda became traditional for scandinavian counries (and it still had those cool Christian connotations). I think Finland specifically chose a Scandinavian cross to emphasize their Scandinavian history and distance themselves from Russia that they had just gained independence from.