DLTK has coloring pages abounding for Russia and also Olympic ones. We had a little race the other night to see who could color the rings in the right colors first. Liz won, granted her colors were "backwards", and Patrick was a close second. We also colored maps and marked cities.
On to books:
We actually have Rechenka's Eggs as one of our Easter books. But we will pull this one off the shelves. It fits. Despite Russia and the Ukraine aren't really getting along currently. Ahem. There you go, sounding board for a good political discussion! The Keeping Quilt would be a good option as well.
I also have Russia ABCs and these stickers would be cute to go with that. Also, this book on Russia. If you want a little more Olympics, I liked G is for Gold Medal.
I didn't look up any movies on Russia. We might. I kind of figure watching the Olympics themselves will probably be enough TV time!