Our JWF eReaderPRO supports Cyrillic best in FB2 and DOC formats. It isn't released to Russia until the 19th April (as distributors are to be sorted out), but you could always get one and ship it out there yourself?
Here is a link to a demo of the device showing how it copes with Russian and Ukrainian Cyrillic alphabet:
http://www.youtube.com/watch?v=JbTH2Q9qpFI