[Swede]

^It is not irrelevant. It is not a perfect analogy, but it is valid. Another good one would be Canada - Quebec vs the rest. A very distinct cultural difference.
However, your US/Germany - Texas/Bavaria one is good too There are many levels to identity and culture, in the end MY identity is up to ME and when two cultures are two seperate cultures or merely sub-cultures is a matter of perspective and opinion. Even the "nation" concept is a social construct.

@Mr D - a united Scandinavia, or better, Nordica would be great. If Norway and Iceland join the EU and Sweden and Finland join NATO we'd already be there in most ways.

@accura - Again nation does not equal country/state. Just because Europe is today dominated by nation-states doesn't mean this is the only way things can be. Also, don't make the mistake of thinking nationhood is static, cultures and perceptions of it change.
Further, to say we'd have seperatist terrorists all over the continent is way to grim IMO and misses one of the core principles in the EU - Human Rights (one of which is democracy). Terrorism is at its very core irrational, but ita twisted logic is usually defeated when given an opportunity to gain independence thru peaceful means (like referendi). And even when the referendi aren't respected things can be peaceful anyway (like when Åland wasn't made Swedish despite its people voting for that, it's an autonomus part of Finland and it's worked out pretty damn good).