Sweden is one of the safest countries, to the point that travelers don't have to consider any safety issues in Sweden at all as long as they're using basic safety tips and common sense. Crime rates in Sweden are much lower than in most other European countries and there are no health risks for Sweden travelers.
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Stockholm is a very safe, friendly city for visitors and there are no "bad" neighborhoods other than the recommendation to keep away from Stockholm Central station at night. If you get lost, you'll quickly find out that most Swedes speak English and are happy to help you on your way. As a tourist, just stick to basic safety tips, and if you do fear for your safety in Stockholm, you can reach Stockholm Police by calling 08 401 01 00 (dial 112 in emergencies only).
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Gothenburg is a relatively small city and prides itself on very low crime rates. Even if you stay out late at night, Gothenburg is safe and locals would rather help you find your way home than do anything criminal. Driving on snow and ice might be the most dangerous thing here, actually. Gothenburg Police can be reached at 114 14, or 112 in emergencies.
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In addition to law enforcement, Malmo employs over 200 people in its Streets & Parks Department to keep the city's public areas safe. Plus, there aren't any bad areas visitors need to avoid other than the suburbs Lindänge & Rosengård which generally seem to be the focus of crime in Malmö. Just use your common sense, be polite, and tuck your wallet away. If needed, you can call Malmo Police at 114 14 or in case of an emergency dial 112.
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How Safe are Sweden's Rural Areas?
Being out and about in rural areas of Sweden during dusk or dawn can be less safe than being in the city. The reason? At those times of day, moose tend to move around and walk across rural roads causing accidents. Drive carefully during dusk and dawn and keep an eye out for them. Varying weather conditions can also impact your safety on the road. Keep your headlights on at all times, and check for possible ice and snow forecasts before you leave.
In rural towns and villages, the crime rate is very low and visitors are very safe in those Swedish areas. Basic travel safety rules give you peace of mind. Just remember that in rural areas, not everyone may speak English if you do need assistance.