I immigrated to Denmark in 1992 and have been naturalized citizen since 1998. I got American green card and business partner in Chicago. I also was invited to come to Londo to run my brothers business. I have decided to stay in Denmark.
My reason has never been financial. I like Danes and their social system. I have travelled all continents. I have found Danish society is the most fair in the world. I have many rumours of racism in Denmark. But I have never experienced any sort of unfair treatment. I love to live rest of my life here.
But my reason of preferring Denmark may not be the reason for most of the people.
I am trying to answer the question by giving consideration to practical factors.
Let me compare the living conditions of 3 countries (denmark, Sweden and Norway)
Salaries are different in those countries. Living costs are also different
Many people live in Sweden and work in Denmark. They commute everyday from Sweden to Denmark either by train or cars over the Oresund bridge.
People earn more Denmark than Sweden. But things are cheaper in Sweden. Home prices are much cheaper than Denmark. It pays off to work in Denmark and use those in Sweden.
The conditions for family reunion are very tough in Denmark. Some people migrate to Sweden in order to bring their spouses from abroad. When spouses come to Sweden, they move back to Denmark.
Which country would you migrate between Denmark and Sweden? Why not both? It is better to combine both countries if you get work in Copenhagen or any city close to Sweden.
In Norway, you get more salary than Denmark but Norway is very expensive country. Your buying power is less than Denmark.
Normally, it is difficult to get immigrant status. But if you are a high skilled professionals, doors of all countries are open for you. You have option to choose a country. A high professional does not have any problem to bring family in any country.
Denmark is definitely better than Sweden but it is difficult to say which one is better between Norway and Denmark. Some people think that Norway is geographically isolated