I will visit Lithuania, Latvia, Estonia, and Finland for 10 days. Is there any mobile internet package working in all these countries? And most importantly I am looking for cheaper service then international roaming ( my current sim card outside the EU)
At least in Finland a mobile service company called Sonera has prepaid internet deals starting from about 15€/month with unlimited data transfer (only transfer speed is limited and faster internet costs more) that covers all Nordic and Baltic countries (you can probably negotiate a deal for 10 days a little cheaper). Unfortunately their internet pages are in Finnish and Swedish only. They do have call service (I would be very surprised if they don't speak English) and worst case would be buying from from their store from any city in Finland.
Of course if your trip doesn't start from Finland this might not be quite handy. Chances are that similar deals are available from the other countries too.
I don’t think you will find the cheaper option than just buying prepaid cards in every country. It’s not a big deal, you can find them in every shop or kiosk and it is not expensive. In Lithuania you even don’t need to register (in Finland you have to). In Lithuania I guess most popular is ezys (http://www.ezys.lt/en/). By buying a sim for 2,29 € you already have inside 1 GB of 4G internet, 250 min local calls and 6000 SMS. Something similar I believe can find in other countries as well.