In Scandinavia:
Temple of Uppsala - a beautiful temple in Northern Sweden, it was the biggest and most prominent pagan temple in the entire world. My recommendation: use Snori Sturlesson's description, not Adam of Bremen's - he liked to really distort details. (This would be in the Dark Age and/or Early campaign).
Jotunheimen - Mountain range in Norway, that was the origin of the stories of the Jotuns (giants) in Norway. Dark Age, Early, Middle and Late (its natural, its not goin anywhere!)
Ale's Stones in Skana - a part of the Danish Kingdom for most it's rule, even though it is on the Swedish peninsula. Should be for most if not all eras.
The Snoldelev Runestone in Zealand - the area of Roskilde. It is one of the oldest runestones in Scandinavia, and also one of the most prominent.
I will think of some more