Tantrix: I already bought a translation of the Kalevala, and I am already looking for a language course. I considered starting with Swedish though, so I have most of the loanwords. (I read in a Grammar book that Finnish has a lot of Swedish words).
The Kalevala isn't a particularly good place to start because it's poetry. The sentences have a certain rhythm, which is fair enough as far as literature is concerned, but it's pretty hopeless if you're interested in learning the language. The impact of Kalevala on contemporary Finnish culture isn't too significant either.
Learning Swedish because Finnish has many Swedish loanwords is, frankly, a bit stupid. It's like learning French or Latin because English has borrowed many words from those. Swedish won't get you very far in most of Finland if you're going to interact with natives, but it's not completely useless; I once spoke with the American ambassador and he told me he'd taken Swedish lessons first because practically all texts that matter in everyday life (in products, official websites and such) is available in Swedish as well, and it's the easier language to learn.
Due to historical reasons, Swedish is the second official language of Finland and it's a mandatory subject at school, but the further you get from cities and the west coast, the fewer people are capable of even basic communication in the stupid language.
Tantrix: Alright, so, do I need to know anything so I have no problems living there? Any special place you can consider? I thought of Helsinki.
Helsinki is bleeding expensive to live in, or so I've heard, so living in one of the nearby areas and using public transport will be cheaper. Other places worth considering include Tampere, Turku and Oulu, which are cheaper but probably no worse to live in. I live in Turku and I don't feel like I'm missing out on anything.
Tantrix: Also, how hard is it to learn Finnish?
Generally speaking, very. It's unlike most European languages, as other people have established already. Most Finns have a decent grasp on English, so you'll do just fine in that respect.
As for alcohol, it's bleeding expensive here, as is everything else really. Not that it's stopping us, mind you; I believe Finland has the highest alcohol consumption per capita figure of Western Europe. The stereotypical Finn is something of an introvert, and so needs a drink or five to loosen up and socialize. Sober Finns usually mind their own business and don't engage in small talk with strangers, a characteristic that I have come to revere. One time I was in class in University, waiting for the last guy to turn up. There were seven of us plus the teacher, and no one said a single word for several minutes. I found this perfectly normal and not at all awkward, but the (English-born) teacher commented “you Finns are extraordinarily silent, even when you're being quiet.”
Oh, and a word of warning about public transport. Local public transit tends to work moderately well in bigger cities, but the tickets are so expensive that I ride my bicycle all year around. Long-haul travelling is so expensive that you're better off using a car of your own (despite petrol costing something like 1.65€/litre). Coaches are pretty dependable if slow, whereas trains are constantly late, delayed or broken down, especially during winter.