Moscow is a snowy place, and its sports are appropriately snow-centric. There are a number of parks in the city where you can do a little cross-country skiing, or if you're keen for speed there are a couple of downhill runs just outside the city.
Public swimming pools are a tad tricky, as you have to have a doctor's certificate saying you're healthy enough to take the plunge. Chaika Swimming Pool offers a check-up on the spot. On hot summer days you can head to Serebryaniy, just north of the city, for some sand between your toes.
The banya (bathhouse) is a deeply-entrenched Russian tradition, and many Muscovites make it an important part of their week. Its main elements are a Hades-hot steam room (which makes the Finns look soft), and a good whipping with birch branches (for their detoxifying properties, of course). The Sandunovskiye (Sandunny) Baths, with its richly-carved Gothic room and general air of aristocratic decadence, is the plum place to roast yourself.
Ice-skating in Russia is like eating frites in Amsterdam; it's a classic activity that will bring you in touch with a local crowd and warm your cockles to boot. Go traditional in Gorky Park or try the winter rinks at Chistye Prudy or Izmaylovsky Park.
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