How easy or hard this is depends on what data source you have. When I tackled this problem I couldn't find any ideal data source, I did however find a map on Wikimedia Commons in the SVG graphics format. Each municipality is stored as a polygon, and each polygon has an identification number. Upon further discovery, we realize that these ids are not random, but actually official identification numbers that we can find on Wikipedia.
By putting the information about municipalities, counties and boundary coordinates together we can create a list with all the necessary information.
Since the list is too large to post here, I've posted it to Pastebin.
You find it here.
The following code processes the data to create visualizations. The syntax is meant to be similar CountryData:
graphicsDirectives={RGBColor[0.896,0.8878,0.8548],EdgeForm[GrayLevel[0]]};
findRegion[name_,ret_]:=Cases[muni,If[
name=="All",
{_,_,reg_,points_} ->Which[ret=="Region",reg,ret=="SchematicPolygon",{reg,points},True,reg],
{_,name,reg_,points_}|{_,reg_,name,points_} ->Which[ret=="Region",reg,ret=="SchematicPolygon",{reg,points},True,reg]]
];
Sweden[name_,"Region"|"SchematicPolygon"]:=Module[{region},region/;(Length[region=findRegion[name,ret]]>0)];
Sweden[name_,"Shape"]:=Module[{region},ImageReflect@Graphics[Join[graphicsDirectives,{Polygon[#[[2]]]}&/@region]]/;(Length[region=findRegion[name,"SchematicPolygon"]]>0)];
Example usage (country, county and municipality level respectively):
{Sweden["All", "Shape"], Sweden["Västra Götalands län", "Shape"], Sweden["Göteborgs kommun", "Shape"]}

divisions = CountryData["Sweden"]["AdministrativeDivisions"]– garej Nov 22 '15 at 15:30EntityValue[Entity["AdministrativeDivision", {_, "Sweden"}], "Entities"]does not work in 10.3.1. Could you update it to the equivalent form that should be used in the current versions? (Maybe when you posted this the syntax was not yet finalized.) – Szabolcs Dec 22 '15 at 09:21