Many countries have agreements on free traveling, especially in the so-called Schengen area. However, when such agreements do not apply, a passport and in some cases also a visa may still be required when traveling from one country to another. In any case, you should carry some official document of identity with you.
The passenger is responsible for having any documents required by authorities. This may include a passport and a visa. Please note that if you travel from one country to another through Finland, as a transit passenger or otherwise, you may be required to present a visa when entering Finland. If you do not have a passport or you have a passport but not a visa, please check the requirements, if you do not already know them from reliable sources.
You can use the IATA Travel Centre online service to check passport and visa requirements as well as customs, airport, and currency rules.
Further information (provided by the Ministry of Foreign Affairs of Finland):