I visited Berlin on my summer holiday trip. At the former border control point between West and East Berlin, there is still the famous sign "You are now leaving the American sector". Right next to the sign is the Checkpoint Charlie, and, nowadays, the Checkpoint Charlie museum. After visiting the museum, I started thinking and reading a little about Cold War and various events which took place during that time. Many things happened, some of which are not so well known - there are surely some events which are secret even today.
The Cold War leaders' ethos, especially in relations between the USA (and its allies) and the Soviet Union, seemed to be "do one thing, say the other thing". Maybe such behaviour is normal to diplomacy or politics in general, but in retrospect when reading about the Cold War it strikes me odd that both sides seemed to behave in a way to always try to justify their actions to their citizens and the big masses of the world, especially so whenever the leaders got caught with the hand in the proverbial cookie jar. In a way, their people did hold the ultimate power, although the possession of such power was not so obvious when a bunch of more or less senile power-obsessed ideologically-fixated leaders rattled their sabres over who has the best memes.
A good example of a "do one thing, say the other thing" in practice was the U2 Spy Plane Incident. On May 1, 1960, a U2 spy plane, piloted by Mr. Francis Gary Powers, was shot down while doing reconnaissance flights over Soviet Union. As the US president Eisenhower was previously told that neither the plane nor the pilot would survive intact if something went wrong, he figured that the plane and the pilot should be in pieces the size of meatballs by now, so he authorized an official lie: an off-course "NASA weather research aircraft" had gone missing "north of Turkey". Once this lie has been fed to the American (and world) public, the Soviet Union responded by displaying what's left of the plane, the photographs taken by the plane which they had developed, and also the pilot, Mr. Powers, who was subsequently put on trial in the Soviet Union. Oops!
I guess one cannot talk about the Cold War without mentioning nuclear weapons. For quite long, the doctrine with the use of nuclear weapons was based on a (clever, especially for the situation at hand) game-theoretic idea, a balance of terror: both sides had enough nuclear weapons to cause massive damage to the other side, but neither side would want to be the first to use the nuclear weapons, as that meant their own destruction too. Why?
Because the other side would surely retaliate with their full nuclear arsenal to make sure no more nuclear weapons would be launched against them - therefore using nuclear weapons would be committing something like a suicide. If one wanted to make war, it made no sense to just shoot one nuclear missile to the enemy nation; one would have to do a full-on attack with every missile to ensure success, as the other side would surely respond not just with one nuclear weapon, but with many, to ensure defensive success. The term Mutual Assured Destructiondescribes this situation.
Indeed, sometimes the world went quite close to nuclear destruction, avoiding it narrowly. One person to whom you can say your thanks to is Mr. Stanislav Petrov, who kept his cool and refrained from ordering a counteroffensive against an (erroneously detected) US nuclear assault. Only one incoming missile was detected by an early warning satellite network, and Mr. Petrov reasoned correctly that the US would definitely not launch just a single missile. Also, given that there had been previous problems with the system, it had to be a false alarm. Indeed, it turned out to be a false alarm and Mr. Petrov most likely saved the world that day.
(On the aesthetic side of nuclear weapons I can suggest the book "100 Suns" by Michael Light. It contains photographs of 100 nuclear weapons tests, taken with special cameras at the very moment of explosion.)
Even though usually very little happens around Scandinavia, there were some Cold War incidents here which are of interest:
The Catalina affair
The episode dubbed "Whiskey on the Rocks" happened on October 27, 1981. The U137 (aka. S-363), a Soviet Whiskey-class nuclear submarine most likely on a spying mission, went to the rocks near Karlskrona in southern Sweden. Later it was revealed that the Soviet submarine crew had instructions to fire nuclear warheads at Swedish targets if the Swedes had attempted to capture the submarine. Fortunately they didn't, or even you might not be around reading this text. This page has a nice summary of the event with many pictures. Information about Whiskey on the Rocks as well as other Soviet submarine "visitations" to Swedish waters are described in Leitenberg, Milton: Soviet Submarine Operations in Swedish Waters. Some more pictures can be found at Blekinge Museum.
For a nice, although somewhat superficial overall-look at the Cold War, I might suggest the book "The Cold War", written by John Lewis Gaddis.
According to Finnish newspapers, information has come out that a secret air battle had taken place over Lapland in the year 1954. Three Soviet MiG-17 planes followed over to Finland a US RB-47E Stratojet spyplane, which was doing a surveillance mission over Kola peninsula. At least two of the three fighters tried to shoot at the US plane. The incident was kept a secret, even though Uusi Suomi (a Finnish newspaper) published a news article about it in the 50s. The political department of the Finnish foreign ministry was swift to deny the news as humbug.