This is a "semla" aka "fettisdagsbulle" and it is traditionally eaten one day a year in Sweden. This year it is February 24th.
(Nowadays you can buy them from December to April though...)
A link to a recipe: http://minareceptsamlingar.blogspot.com/2007/02/swedish-semla.html
All Images copyright © Thomas Gehlhaus. All Rights Reserved.