I know I've been sounding like the proverbial one-trick pony lately, and posting about Second Life, but today I messed with doing Cyrillic there. Not to mention the fact that I received my visas for visits to several Russian-speaking nations today, so I'm psyched.
You may have noted that, during official installs, you're prompted for primary language, and Russian is not listed. Check out secondrussia.com and you'll find links to an exe that'll install the correct true types and client with Russian menuing. It seems in general a cool site as well.
Вот это счастье :)