The visa situation is even more of a nightmare when it comes to work in Russia, and besides, there are loads of Russians who can do everything you can do, and speak better Russian. Exceptions are English-teaching, which is in constant demand (if you have some experience), and other specializations using the language (editing, education, etc). The days of the early 1990s, when hordes of expats were in Moscow teaching the Russians to do things they couldn’t do, like marketing or advertising, are well and truly over.
Russia is not as dear as Europe, but is not cheap either. Transport is relatively cheap, but food is not all that cheap, though the south and the provinces are better in this respect, and all food is much cheaper in summer. Anything imported is naturally a lot dearer, and Russian fare is often just as good in any case.
The rouble is pretty stable nowadays. You have to convert hard currency in Russia, at the exchange points everywhere. Politicians promise to make the Rouble convertible by 2007. Euro or US$ is best. Cards are rarely used outside the main cities.