The thing to in Moscow during the winter time is ice skating.
In breezy subzero weather there's nothing like a nice punishing trip to the ice, skates strapped on, flashing down the ice.
With luck the amiable Hare Krishna people from the Moscow Vedic Yoga Center located conveniently across the street from the National Headquarters of the KGB will find themselves performing Hari nam sankirtan on ice skates in one of the fine outdoor skating rinks here in the nation's capital. Stay tuned to this space.