Norway is always a prime target for the allies, but it is generally a tall order to get it unless the Germans are asleep at the wheel. The Germans often times will build a transport or two in the Baltic just to get the Russians to evacuate Leningrad for easy pick-ins. So if the Russians try to invade Finland/Norway early in the game the Germans will probably be set-up to easily retake it using a handful of ground units and the Luftwaffe (killing valuable Russians would be a gift).
The western allies can go for it, but again the Germans won’t just give it up. They typically would have some transports and air power to again counter attack any allied landings up there. By time the US/UK are ready to attempt a landing in Norway the Germans should already have Leningrad, and probably a small Baltic navy. One way to get Norway and keep it is to take out the Baltic navy first, and that would take some planning. The US should take it so they can build an IC, and the UK should plan on reinforcing the US foot hold with troops, AA guns and ftrs. Hitting Norway from Gibraltar would be nice, but the Germans can move or build a dd as a blocker to delay you for one turn (time to get their defenses up). So you would most likely be looking at sailing to London (sz110), which gives the UK a chance to build a couple transports/ftrs to help with reinforcements.
You can also wait for the Germans to make their strike on Moscow to make landings in Norway (or Europe) because then the German air force wouldn’t be able to do double duty, but it might be too late by then.