It's easy to fly to Tromso. SAS (Scandinavian Airlines) flies from Heathrow via Oslo, as does Norwegian (Norway's budget airline) from Gatwick via Oslo too.
I recommend flying up to Tromso first, then making your way down to Oslo via train or ferry.
There is no train service from Tromso as it stops at Bodo. So you could catch the overnight ferry through the Lofoten Islands then a train down to Oslo via Trondheim or Bergen. It will be easier to fly into Iceland from Oslo.
Norway is stunning in winter, cold yes - but it's worth it.
Accommodation and organised activities wise, Norway is cheaper in winter, but still it's one of the most expensive country's in the world, but in saying that, probably the most beautiful.
You will have a ball - I'm trekking up to Longyearbyen in February and spending some time in Svalbard. If you've got some extra cash and time, I would highly recommend it. Polar bear and Arctic tundra country!