Which northern european country chose not to be in the european union?

The answer is: Iceland

Being a member of the European Union serves a couple of benefit (such as free travels for the citizens, easier flow of product distribution, millitary partnerships, etc),

But, the members are sometimes also forced to conform to the union policy that might be disadvantageous for them (such as production quota for a certain type of commodities).

Iceland believe that the quota that imposed by the union for its sea products would not be beneficial for its economy. Because of this, it chose not to be in European union.