Being Swedish, but living in Scotland and also spending quite a bit of time in England, I think I can give you some ideas here.
When it comes to Sweden and Denmark, when you go out for food, it's roughly similar prices to London, ie, a bit more expensive then most of UK, but unless you go to the high price places it won't burn your pockets too bad. Fast food/takeaway is about the same price as in England, and also generally much tastier - UK fast food sucks
Alcohol is as has been mentioned quite a bit more expensive in the bars and pubs. A large beer of whatever is on tap generally costs about 50-60 sek in Sweden, and around 40dkk in Denmark, ie £5 in sweden and £4 in denmark. This is 50cl, witch is slightly less then a pint.
If you buy beer in a store, in general you can double the UK price in Sweden, while Denmark is somewhere in between.
When it comes to norway, take swedish prices, and add 20 - 30%.
When it comes to gay friendly places, the only gay club I have visited is "Gretas" in Gothenburg. Can't claim I had a very good time there myself, but i'm not part of their general crowd ofcourse. My gay friends think it's a great club.