This tradition actually stems from a misunderstanding. The original Christian celebration of this day, the Lady Day (in Swedish, Vårfrudagen), became in the vernacular "Våffeldagen" which means - Waffel Day.
Swedes started making waffles baked in square irons already in the 17th century. The nowadays so characteristic iron making heart shaped waffles came around in the 19th century.
The whole idea with waffles in Sweden, is to get them crispy; this is really what differentiate them from pancakes. Traditionally they are served with a jam half and half made out of raspberries and blueberries, called Drottningsylt; but of course you can have them with whatever you like - we didn't have any cream, so ours got served with ice cream and strawberry jam. Noone complained about that!
(Information found at www.visitsweden.com)