Now there's a question! Hmm. I've mainly seen television & novels, not film, which might be different.

I think they gather their power from the dissonance between the dark subject matter and the clean bright liberal socialist ideals that at least Brits tend to associate with Scandinavia, as well as the beautiful landscapes/cityscapes. So they often deal with themes of racism, homelessness, political, police or military corruption, terrorism &c. The pacing is often languid, particularly compared with other modern crime dramas. There's an emphasis on the victim's family's grief. They're usually of the police procedural type, and the investigating officer is often a strong & unusual woman, who isn't interested in family or clothes/appearance -- the last alone is a huge & to me welcome difference from all US crime drama I've ever seen.

The genre reminds me of Edge of Darkness, an iconic British drama, if you happened to have seen that.