Does The iPhone works in Sweden?

If you mean you are going to buy it in a country that sells the phone and then take out a contract on the phone in that country then yes you can use it abroad just like you can take any phone abroad on holiday.

Yes, you can use it in Sweden on roaming, or anywhere else in the world. It will cost a fair bit though, as carriers charge high prices for using mobile phones abroad. In fact, a substantial amount of their annual profits come from charging roaming customers (a few years ago I seem to recall some operators making a quarter of their annual profits from this relatively small segment of the market).

But you can't swap the SIM for a Swedish one and use a domestic carrier directly.