I've done Rome in winter a few times, less people around. I spent a month in Italy in Dec/Jan and it was great, wasn't too cold (but I had just been in Austria/Switzerland skiing for 6 weeks). We also continued through South of France, Spain, Portugal, Andorra (for more skiing) before heading back to Amsterdam. We had the car so it wasn't that bad to get around (except I loathe driving where there is black ice, left that for my BF).

I'd probably not do Stockholm in Winter, you'd not get to see a lot with the cold and dark weather. I'd rather save that trip for spring/summer/autumn.