A major factor in Northern Europe's religious development is that the countries have state churches to which the majority of their populations adhere to (more or less; by default, the majority is entered into the church books as congregants, probably at birth).
A state church will necessarily act differently than an independent church as a state church is usually accountable to the state political government and thereby accountable to public opinion (whereas an independent church is only minimally accountable to its respective governmental authorities and can more easily act without democratic regard [though this can cause a backlash through a loss of congregants and income]). This is in addition to the general social accountability a church incurs once it reaches a critical size and to the normal conformity-enforcement a centralized church develops (for example, if a Norwegian Evangelical Lutheran priest strays too far away from church orthodoxy, he or she risks being fired from the church and losing both his or her parish and monetary support; you can also see this in the Roman Catholic Church).
Norway's welfare system probably owes more to socialist / social democratic political actors, though the appeal of social justice probably brought the Christian Democrats on board. It should be noted that a major part of the system, the national healthcare system, was developed with the support of the Norwegian private business community, which saw the benefits of having the government responsible for their workers' well-being rather than the potential arbitrariness of private health insurance companies. The other parts of the welfare system are set up to appeal to our generalized greed; everyone in Norway gets welfare, from the poorest to the richest. By generalizing welfare, the social democrats ensured that even wealthy recipients would be disinclined to remove it (as they themselves see that money come in to themselves, for example, in the form of governmental child support). To make a system last, it's probably best to simultaneously appeal to our highest ideals and to our basest instincts. That we all pay in to it (through taxes) is another equalizer.
This equalizer, by the way, is one of the reasons parts of the anti-immigration arguments get a foothold among Norwegians; when immigrants are seen as enjoying the fruits of the Norwegian social system without paying into it (by either working illegally or deliberately not working at all), this feeds into a social distrust that can undermine the trust the social system relies on (the idea that we're all in it together).
As for the US, that's a big other story. Some bits to consider are the US' youth, its decentralization, some of its underlying ideologies (political, economic, social, and spiritual), its immigrant-composition, its seemingly national millenarianism, and its objective and relative successes.
