One of the reasons I visit the Russian store so rarely is my complete inability to stay away from Russian candy. They have chocolates, boxed and bulk, non-chocolate candy and other sweets. No matter how much I buy, they are gone within few days and no gimmicks or rationing tricks work to keep me from eating handfuls of chocolates until they are all gone. The only souvenir I brought from my last trip to New York was a suitcase full of Russian chocolates. Russian chocolates are tastier and more creative than their American mass-produced counterparts, they seem to use real chocolate and at $5.69/lb are a bargain. At the store you can grab a few pieces out of every bin, they are all conveniently priced the same.
Another favorite of mine is Zefir. Calling it a marshmallow is a blasphemy but there is no better English word to describe this airy, light, sweet and slightly tart dessert, which doesn’t need to be melted, burned or otherwise abused to make it edible.
There are two Russian stores in the area: European Delights and Taste of Russia. Note that European Delights moved to the shopping center on the Southwest corner of the 95th street and Antioch, pretty much across the Antioch street from where it used to be and Google maps may not be current.
UPDATE: DLC, the eating force behind Kansas City Lunch Spots, visited one of the stores in this post and bravely ate lunch there. Please read his review and my comments there.