Thanks KodiakBeer, and it's true that Archangel gave clear access to the Atlantic - but it was icebound in winter, according to http://en.wikipedia.org/wiki/Archangel_(Russian_city) - hence the hankering for a warm water port. Gothenburg would have done it, as would Oslo - but the Soviets may have had advance warning from their then-ally Germany that Norway would be invaded in or about April 1940 so Oslo would not be favored. Also, to invade Norway directly or via Finland would have been tricky; there is only a short border and it's in the far North, a long way from Oslo. Sweden, in contrast, has quite a long border with Finland and there could have been a supporting invasion across the Gulf of Bothnia, perhaps to the South of Stockholm so as to divide the defensive army.
I can't see how a conquest of Finland would have provided more buffer for the Soviets. Yes they would distrust their ally Germany, but the Germans would hardly invade via Finland. When in 1941 Hitler turned on them, his army came directly via Poland, SW of Leningrad, whereas Finland lies to its NW. The Baltic divides Finland from Estonia, Latvia and Lithuania - which the Soviets had already grabbed anyway, perhaps as buffers vs Germany.
Again, I'd love to hear any other ideas about why they waged the Winter War.