Icelandic and Norwegian are West Norse while Danish and Swedish are East Norse, so it'd be understandable if Danish people could understand Swedish better than Norwegian. However IIRC Icelandic is the closest to Old Norse.
Those are old terms. We use them when speaking about Norse, which is the old language that isn't spoken anymore. It is more often divided into continental and island. This leaves Norwegian, Swedish and Danish in the same group. The intonation of Norwegian is more similar to that of Swedish, than that of Danish. The words are more Danish, which leaves Norwegian to be a middle language. I can't really speak on behalf of swedes and Danes, but from what I've heard, it's nigh impossible for them to understand each other. And for the record, unlike many other European countries, Norway has not chosen one standard spoken language (Like "Received Pronunciation" and "Hochdeutsch") which is why we also have two written languages to compensate so that everyone has a written language that resembles their actual dialect. Bokmål is the one that is heavily influenced by Danish, whilst Nynorsk has words that are more Swedish, though the pronunciation is still quite different.
As ofr me, I can understand Swedish almost with no issues, just a few words that are different (Rar in Swedish means Nice, whilst in Norwegian it means weird :| (correct me if I'm wrong)) Danish pronunciation is very different, and thus I struggle unless hey speak slowly and try to be as clear as possible. Regional dialect also differ for them, so western Swedish is naturally easier for me than eastern
