This article gives analysis of best practices in implementation of energy efficient technologies in the Nordic countries with socially oriented market economy. The analysis of energy efficiency problems solving experience is carried out based on the example of such Northern Europe countries as Denmark, Finland and Sweden. The effect of the energy-saving policy in each country is evaluated in dynamics using the ODEX energy efficiency index. The article describes key factors that have contributed into the energy efficiency index decline. It also summarizes the experience in energy problems solving without increasing the cost of living for the population. The author considers the projects targeted to improve energy efficiency currently introduced in the Russian Federation, both in the capital and in the regions. Zero growth rate for electricity cost is proven to be one of the most important measures for energy efficiency improvement. The basic problems relevant for this industry in Russia today are determined. The prospects for Scandinavian experience to be adopted for the energy efficiency challenges in Russia are evaluated.