Supporting Denmark in any of the two scripted wars they have against Prussia/Germany/Austria will do. However, both Denmark and Sweden must still have all their national provinces for the event to fire, so if you're playing Sweden you pretty much need to help Denmark in both wars.
Sweden is the easiest to form Scandinavia with since if you play Denmark you have to rely on Sweden picking an ahistorical choice in one of the events which has a low likelihood of happening, so you'll have more control over matters as Sweden.
The benefit I suppose is that you get danish culture, and a couple of million more people with state culture isn't so bad.