Yes of course the Allies should have tried harder to protect Norway, that is a no brainer. Most of the German steel come from the iron ores in northern Sweden, and if the Allies could cut off this iron supply line in 1940, it just might have been decisive for the whole war effort. No steel, no tank divisions. As simple as that. With the Swedish mines destroyed, even Stalin might have made a second thought and ditched the non-aggression pact with Hitler. That would have put a stop to the world war in 1940.
Marc is only partly right in his statement that the iron ores in France made the Swedish steel redundant. First, nobody could know that Germany would capture the French mines in less than 6 weeks. And even if Germany had both the French and Swedish mines, they would prefer the high grade quality steel from Sweden since it took less workers to use it. So even after the Huns had overrun France, the Allies should have made an effort to occupy northern Norway long enough to destroy the Swedish mines.
Another fact that is less common knowledge, but still important, is that Hitler was afraid to start the attack on France before Norway was properly secured. It was only after southern Norway and the key city Trondheim were secured, and the rest of the campaign a sure thing, that Hitler finally let his generals attack France. Now if the Allies had put some more effort into taking Norway, perhaps the attack on France would not happened in 1940, maybe never since the Royal navy could tranny more men into Norway than the few German trannies. But this is pure speculations.