Geographical Scandinavia is the mountain range on the peninsula.
However when one says "Scandinavia" it is almost always in reference to the historically tied nations of Denmark, Norway and Sweden. Although we see ourselves vastly different, we probably aren't. As we have both blood and languages in common (albeit it does takes a little practice to understand the other languages, especially when you take dialects, slang and how fast the individual speaks into account)
Add Finland and Iceland to the list and you'll have the Nordic countries.
Edit: There's also the Faroe islands of course, but they're still trapped as part of the realm. :cool: