I´ve read all of the books in the Wallander series and have enjoyed them a lot (and of course the Millennium trilogy as well) so I recommend them.
Another crime writer I found only last year - although his books have been around for some time - is
Jo Nesbö from Norway who writes in a similar manner.
To continue the "Nordic Detective thread" I could also recommend icelandic writer
Arnaldur Indridasson with very similar stories. He has said in an interview that the secret to writing a succesful crime novel is making the main character unhappy...