anecdotal thing here, but 30 years ago I knew a woman at university who had participated in a year long exchange program in northern Sweden a few years earlier and I clearly remember her telling me that the long dark winter was one of the worst experiences of her life, the effect of such a long period of little daylight.
I've also read that mid-summer "midnight sun" period messes w/their heads, makes it hard to get to sleep. But I wonder, re depression, how to separate effects of cold weather from short daylight? I had an Italian boss who had traveled all over the world but loved Scandinavia & lived there for a few years incl northern Norway. In Sweden November there might be a chance to see the Northern Lights, eh?
Only times I've been to Europe was in winter (car tours not bike) but the weather didn't bother me too much since local area is usually chilly anyway. Short days could be a hassle but that was mostly due to inexperience/logistics/uncooperative travelmates. Seems interesting to see things while local folks are not artificially cheered up by stuff like "sun" & "warmth", heh.