Hyperref: Scandinavian characters (æø) don't work in \url, hyperlink is wrong

With a small modification the answer given by gerry will even work directly with pdflatex:

\documentclass[a4paper]{article}

\usepackage[utf8]{inputenc}
\usepackage[T1]{fontenc}
\usepackage{lmodern}

\usepackage[]{hyperref}

\begin{document}
  \href{http://snl.no/%C3%B8l}{http://snl.no/øl} \\
  \href{http://snl.no/%C3%A6re}{http://snl.no/ære} \\
  \href{http://snl.no/%C3%85l}{http://snl.no/Ål}
\end{document}

You just have to encode the URL, for example using the W3 URL Encoder.

Actually I can get the right link with href. It's compiled with latex & dvi2pdf

\documentclass[a4paper]{article}
\usepackage[utf8]{inputenc}
\usepackage[T1]{fontenc}
\usepackage{lmodern}

\usepackage{hyperref}

\begin{document}
\href{http://snl.no/øl}{http://snl.no/øl}\\   \href{http://snl.no/ære}{http://snl.no/ære} \\   \href{http://snl.no/Ål}{http://snl.no/Ål}
\end{document}

I get the same results with pdflatex, latex+dvips+ps2pdf and latex+dvipdfmx. In your place I would ask the author of hyperref. E.g. in comp.text.tex.