Since coming to Russia, the places I have enjoyed visiting time and time again are the рынки (markets). There are various markets around Moscow, though the two that I have been to the most are the markets here in Выхино and the granddaddy of them all in Ismailovo. From what I've heard, they are very similar to farmer's markets in America. However, I've never been to a farmer's market in America, so I really don't have the slightest clue if that is a correct analogy or not.
Now, this isn't to say that I don't enjoy, to some extent, the touristy stuff, like going to Red Square or seeing statues. That stuff is cool too. However, after the first time, it loses a whole lot of its mystique and I really am not that worried about going around and sight-seeing. I'm also not a huge fan of museums. I'm not the kind of person that likes to sit around and think about a picture for 10 minutes - I go room to room, look around at the cool stuff, and move on.
One of the great things about the market is that you can find just about anything there, from pots and pans to fur coats to slabs of beef. I personally tend to go there for clothes and for fruit, but really, it's almost like a big supermarket (you won't find electronics there though, unfortunately - well, maybe not unfortunately, because electronics are ****ing expensive in Russia).
But it isn't a supermarket, and that's what I love about it. You have to talk to the kiosk owners, which means that you need to practice your Russian in order too get what you want. I'm in Russia to improve my Russian. Hey! That's seems like a perfect match (plus, I love to explore shops and and stores for cool stuff, and there's a crapton of cool stuff at the market).
Of course, you do need to be a little careful at the market. I've never been a victim of this, but everyone says that, because of bustle and the small areas, you need to make sure that you have an eye or a hand on your wallet at all times. Again, it's never happened to me (though I keep my wallet in the chest pocket of my jacket, so it'd be pretty damn hard to take it from me).
The other big problem can be prices. I don't really have much experience in terms of haggling, so it's kind of hard for me to negotiate prices in general. The stories always suggest that if they think that you're a foreigner, the price will skyrocket. This is certainly very, very true at Ismailovo, which is where tourists tend to flock, though they are much more willing to bargain there, which is good for someone that has no idea how to bargain. In Выхино, they seem much less ready to reduce their prices, though the starting prices are probably more fair than elsewhere.
The food market is great, especially in Быхино, because it's simply huge. There are aisles and aisles of fruits, meat, vegetables, dried snacks, dairy, etc. I mean, really, it's impressive. However, since not everyone back there has a lot of the same stuff, it won't always be of the best quality. There have been a couple of occasions where I bought fruit that looked fine when I bought it, but because of the way it was displayed, turned out to be pretty bad when I got back to the dorm.
I've also heard recently that the government wants to shut down the non-food goods sections of the markets (Nooooo!). Why? Well...turns out that some/most/almost all of the stuff is counterfeit. That's not to say it isn't of good quality, because it is. But literally every other article of clothing says Armani or Versace or something on it. Unless the market has some of the best deals in the history of the world, I doubt the legitimacy of those labels.
That said, I still love it. I mean, of everywhere I've been in Moscow, few places seem to emmerse you as much in Russia as the markets. You get to talk to locals, haggle with locals, struggle to understand locals, get people to warm up to you by telling them you're American, try on shirts in 20 degree or lower weather behind a little curtain in a little kiosk, and really just find all kinds of great stuff. In fact, I'm running low on fruit right now...