I think you should definitely buy one of those e-ink devices.
Sony Reader is a good choice if you know somebody who is visiting USA and would be willing to bring one for you. That would also be the cheapest option. There is hack for Reader PRS500 to display Azbuka. It should not be difficult to adapt the hack for cyrilic.
Then there is Booken Gen3. It is available in European Union. Good for you. The only disadvantage is the price (when comparing with Sony Reader)
There is a version of e-ink device (Hanlin?) that is available in Russia. That is much closer to you than USA. The device is also more likely to display Cyrilyc.
There is also walkbook.
www.walkbook.net They sell rebranded e-ink readers. Their main operation is in Turkey. Just acros the border for you ;-)
http://www.walkbook.net/index_en.php