This isn't true in the case of Greenland and the Faroe Islands. They are both self-governing countries with their own political system. They do however get financial help from Denmark though and are very much connected to Denmark when it comes to school systems and so on.
OT: I'd have a hard time choosing between these countries if I'm honest, I think almost all of them have such high standards of living that I would gladly live in any of them :> If I had to pick one I'd choose Sweden.