Mosfilm recently put a library of Russian films online. The ones that have subtitles are at this link: http://cinema.mosfilm.ru/films/comp/Podborki/Filmy-s-subtitrami/
When it opens the Youtube screen, hit the CC button in the bottom right corner to see the subtitles.
Speaking of movies, “original language issues” are an eternal point of frustration for us here in Moscow. Anna Belkina at Home & Away sums it up nicely in her post here.