Finland's westernmost point is on Märket, a skerry in the Baltic Sea between Finland's island province of Åland and Sweden.
Märket is divided between the two countries in the 1809 Treaty of Fredrikshamn between the Russian Empire and Sweden. It is also the smallest divided island in the world and has two time zones one hour apart. The lighthouse and all other structures on the skerry are in Finland.
By tt_koski - IMG_3387, CC BY 2.0, Linkki
Here's a picture showing the border: