This article is devoted to issues of energy security and energy dependence/independence in EU – Russian relations in the Baltic Sea region. The particular attention is given to the project of Nord Stream pipeline and prospects of the Russia-Sweden cooperation in energy sphere within realization of this project. The author points out the difference in views on energy security in EU and Russia, proposes to consider some points – “myths” about Nord Stream project that create a lot of mutual misunderstandings in EU-Russian relationships in energy sphere. In the present article the author shows generally a Russian attitude to the energy security problem and the Nord Stream project. The article proves the necessity of development of bilateral cooperation between Russia and European countries in energy sphere, basing on a relationship of interdependence and mutual benefits.