I live in Denmark and yes I think I'm proud of "my" country.
Or at least happy with it ^^
The weather sucks most of time but the way the country works is great I think. There's extremely little poverty and crime, and things like school, education and doctors are free. And if you lose your job, the state will pay for you until you can get back on your feet without you having to pay back. An easy country to live in
I would not say that I'm proud of the culture though. Not that it is bad, sick or something like that. It's just kinda boring :P