When in Sweden, I had the opportunity to visit several yarn shops. The Yllet store on Drottninggatan had attractive soft yarn made of Gotland wool. I got a heavy worsted weight in varigated shades of blue, olive and brown. Sticka, on Österlånggatan in Gamla Stan (i.e. Stockholm’s old town), was an attractive store with a large selection of yarns. I came away with fingering weight rough spun yarn, again made of Gotland wool, and hand dyed in shades of deep red. I also got two 50g balls of Drops Delight by Garnstudio in varigated shades of red, orange and brown, which I was told would be good for socks (it’s 75% superwash wool, 25% polyamid). Garnstudio is a Norwegian company; the yarn itself was made in Turkey.
2021 Update
I understand that the Yllet store in Stockholm is now closed. You may be able to find some of their lovely yarn at other shops in Stockholm. If you want to see a greater selection of yarn from Yllet, look for them in Visby, Gotland.
As of January 2021, there is still a Sticka shop on Österlånggatan. If you want to check on its current status, try searching on “Sticka by Marie Victoria.”