The great country of Russia has a lot of really amazing cities in it, and visiting any of these cities will be a great experience for you once all has been said and is now out of the way. We would suggest that you try going to St Petersburg first. The reason behind this is that this city has a really long history and it played a pivotal role during a period of time during which the Soviets ruled over Russia and made the country less capitalistic and more communistic than might have been the case otherwise.
If you want to enjoy this city properly, you might want to think about renting st petersburg limousines for the experience. You should also at the very least try your best to dress as warmly as you can since this is an extremely cold city and if you go out in it without the proper covering then you might just end up catching a cold or even something worse. Lots of people end up suffering from frostbite simply due to the reason that they did not take the cold of this city all that seriously.
The best thing to do would be to wear a sweater over your shirt and a thick jacket on top of that. Things like scarves and a hat can be great too since you need to cover your ears as well as find a way to keep your nose warm. Basically any part of your body that is sticking out should be covered up and kept as warm as possible because these are the parts of your body that are most susceptible to things like frostbite and the like.