There is St Martins in London (UK). It is a college of art and design. You have to look to see if they have a course on web design. http://www.csm.arts.ac.uk/ It has a very good reputation in London ;)
The Hyper Island seems good, but I don't know sweeden. University of Art and Design Helsinki seems intresting also, but I couldn't find any information on web design.
I really like the St Martins in London - I will keep that as a option.
I quess University of Art and Design Helsinki is more about basic art and design. Anyway, there are lots of finnish web pro's.
I'm from finland but I have to say that sweden is better than helsinki. Helsinki is like... sinking in hell?!? All other cities in finland is quite good.