It varies from person to person how well they understand the other languages.

My own experience is that Swedes generally have a hard time understanding spoken Danish.

It's always easier to understand the written languages. I understand most written Norwegian and a lot of written Swedish (only because I have actively worked on improving my Swedish).

I wonder if the three Scandinavian languages are more dissimilar as for instance Spanish/Italian/Catalan.

An Italian speaking person can understand written Spanish and Catalan with some practice and intuition.

When speaking slowly and only about very basic things, yes Norwegians, Swedes and Danes can all understand each other. But that's where it ends.  

However, there is a persistent myth -- even in Scandinavia -- that all of these languages are mutually intelligible. Sometimes, people from that area will not say "I speak Norwegian" or "I speak Swedish" but "I speak Scandinavian" meaning that you can speak any of those languages to them and they will understand you. I'm not sure that's really as true as they would like it to be!

But, as other people have posted...if you know one of these languages well, you can read about 80% of texts written in another one.