The Sami probably came from Finland and spread westwards through the icy parts of the northern hemisphere. The first Norwegians probably came from Germany/Denmark after the ice age. I'm not really sure who came here first, but I know the Sami are considered the Finnish aboriginals.
Here's some more info. I haven't had the time to read it all, but it seems to cover most of it:
http://www.lysator.liu.se/nordic/scn/faq23.html
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