1.) If you're worried about the money, the Swedish government provides student loans at VERY good rates to all students in Sweden, which you might be able to apply for. The maximum amount you'd be able to get per month would be around 7000 SEK (which is about 835 USD). Swedish students are also given a monthly stipend ("studiebidrag"), which gives you a further 2828 SEK per month, for a total of 9948 SEK - or 1187 USD per month.
HOWEVER - I don't know if you, as a foreign student, would be given that second portion of money, and I don't know the exact ins and outs of applying for a loan when you're a foreign student. They've been changing the rules a lot lately, and it's been a couple of years since I went to college. There HAS been talk about requiring foreign students to pay for their education out of their own pocket, as there has been issues with repayment of the loans, but I don't know if that actually happened. Any money you get would come from Centrala Stuidestödsnämnden - CSN. Contacting them with further questions re: money is probably a good idea.
2.) There are several art schools you could apply to dedicated to the visual arts. I don't know precisely what you're after, but googling "konstskola", or "konsthögskola" might net you good results. The most famous one would be Konstfack in Stockholm, but it's the sort of school people apply to AFTER they've already had some college-level art education at another school, in my experience. I've never been there myself, but I have friends who have.
Also, if it's specifically COMICS you're after, it's worth looking into the comics-centric school in Malmö - Serieskolan. It has a pretty good reputation, AFAIK, and has a pretty good atmosphere. Again, never been there myself, but I have a lot of friends who have (the Swedish comics-scene is pretty small - eventually, you end up knowing everybody XD).
I did some quick googling, and found Göteborgs Konstskola, Konstskolan i Stockholm, and Kungliga Konsthögskolan (that is, the Royal Academy of Arts). Not knowing precisely what you're after makes it difficult to pin down the best option for you, but those three might be good places to start.
3.) Having never been to college in any other country, I will tell you that in my experience (I attended a Comics and Visual Storytelling school, which, er, wasn't the best, but also wasn't horrible? I blame poor organisational skills on the part of my teachers), Swedish art-schools tend to focus less intensely on the purely technical aspects (lifedrawing, colour theory, etc.) and more on personal expression. This experience may not be 100% representative of what art schools in general are like.
4.) Is it worth it? Well, I had a good experience (despite some snags), and overall, studying in Sweden is pretty neat. I'm approaching this as a native Swede, so things are different for me (esp. since I don't know if you would be eligible for the loans, or if you'd have to pay for everything yourself) - but for me, I'd say it was worth it. Choosing to study at an art-school in Sweden is less of a risk than it is in, say, America, simply because it's free. We accrue some student loans over the years, but the repayment of those is nowhere NEAR as punishing as the American version would be, and it means you won't have to have a job on the side to be able to make it.
I hope that helps! I'll do my best ot answer any other questions you might have. 
