The city is alive, bars are bustling and the Finns are living up to their reputation of enjoying a tipple or two.
But where are we? Swimming in the Baltic, of course. To us Brits, this may sound mad, but it seems normal behaviour for the Finns, who are - in the nicest possible way - a bit eccentric.
We are on the amazing Sauna Island, which does what it says on the tin. We have arrived here by taxi boat after a brief midnight tour of the city on a 'party bus' where you drink cava from the bottle with a straw.
Despite the late hour, the city is still bathed in light, though there is the most amazing moon presiding above.
It's a little on the chilly side as we catch the boat across to the island, but after many hard months of winter and snow - even up until April - the Finns are excited that their dark nights have been replaced by light.
Sauna Island is beautiful and surreal, and we are led into one of its many wooden huts where the concept of Finnish saunas is explained to us.
The Finns are mad for them. For a population of five million - one million living in Helsinki - there are more than two million saunas. Most Finns have them in their homes and use them for relaxation/medical purposes.
The saunas on the island are large and wood-burning and produce an incredible heat and an authentic smell.
Despite the myths, you don't have to be naked, but we all breathe a sigh of relief when we discover that birch leaves are out of season, so spanking each other with them - apparently a big Finnish tradition - is off the cards on this occasion. When the heat becomes unbearable, we are invited to take a dip in the Baltic to cool down. And so we do.
We sit watching the sun coming up over Helsinki at 6am, beer in hand, in a hot tub, and we know this is going to be a magical trip.
After a much-needed few hours' kip in the comfortable Hotel Cumulus Seurahuone - one of Helsinki's oldest hotels - we rise for the next part of our Finnish adventure.
A tour of the city takes in fantastic cathedrals, parliament buildings and the presidential residence, as well as street entertainment, including a bandstand providing free live music all day long to crowds of people who have congregated at the outside tables of their favourite bars. The streets are packed with locals, eager to soak up as much sun as they can during the brief few months of summer.
We dine in a plush restaurant, where drinking wine and beer is mandatory, and feast on a three-course meal.
After a little more meandering around the city centre, taking in its market stalls and tram system, it is time to kiss goodbye to our new-found love with Helsinki - we are Stockholm-bound, via an overnight trip on the Viking Line's Mariella ferry.
We settle in to our cabins - basic but clean and with a window, en-suite and able to sleep four - and we hit the top deck to wave a fond farewell to this magnificent city.
The Mariella is an impressive vessel, with restaurants, pubs, a cinema, a casino and, of course, four saunas. In the restaurant, we are offered local delicacies such as sauna-smoked reindeer, as well as more traditional fare.
But no three-course meal on Baltic waters is complete without a champagne aperitif followed by wine, beer and liqueur.
This puts us in the mood for a bit of on-board entertainment and we head for the karaoke, where we compete against Russians, Chinese, Finns and the Swedes in a rather impromptu and bizarre version of the Eurovision Song Contest.
But if you think this is weird, in the room down the hall Elvis is on stage performing with Abba, so anything can happen on board Viking Line.
After a few too many Seaman's Shots - a Fisherman's Friend lozenges drink which comes free with every pint - we roll into bed in the early hours of the morning, only to rise again three hours later to witness our arrival into Stockholm.
The culture of the Swedish capital is apparent right from the moment you set foot on its soil. It oozes sophistication and is picture postcard perfect at every turn.
We take a bus tour round the city, then a walking tour through the old town, weaving in and out of narrow streets, taking in the gift shops and fantastic boutiques. We stop outside several royal residences, where the Swedes are only too happy to regale visitors with stories of their royal family, of whom they are obviously proud.
Stockholm's City Hall is a cut above the rest, with fantastical decor such as the viking ceiling and mosaic room.
After our tour in the sunshine, we check in to the trendy Scandic Hotel Malmen, where the motto is 'check in, rock out', before heading into town for the next part of our cultural fix.
We hop on a boat - Stockholm is basically a series of islands - and disembark at the open-air Skansen museum, which is a quaint, if not bizarre, collection of Swedish settlements throughout the ages.
After a stroll around a school, bakers, farm and Temperance Hall, we head for Skansen's zoo, where we are treated to an eclectic mix of cute brown bears, wolverines, reindeer and elks.
Next on the whistle-stop cultural tour of Stockholm is the amazing Vasa Museum.
The warship - built on the orders of King Gustav II Adolf - sunk in 1628 after apparently being built top-heavy and with too many cannons on board.
Remarkably, due to it sinking only 20 minutes into its maiden voyage and being preserved in the less salty waters of the Baltic, divers managed to bring the ship to the surface 333 years later, in 1961, and painstakingly reconstruct it piece by piece.
Of course, Stockholm isn't all about culture and museums, and we find time to sample local food and drinks - though you need plenty of cash to go for a night on the tiles in Stockholm.
As we have a nightcap in our hotel before bedtime, surrounded by rock stars who tend to frequent the trendy Scandic Hotel Malmen, we reflect on our hectic weekend in the beautiful and vibrant cities of Helsinki and Stockholm and we all agree on one thing - that we don't want to leave.