As stated above, the Russia (Dagestan) crossing into AZ is technically open to foreigners, but in paractice I wouldn't bank on it. I was in Derbent earlier in the year, went close to the border and was told it is open to all, but I would have a back-up plan. I also think you have a better chance if you go Russia to AZ rather than the other way. I felt Chechnya to be perfectly safe, Dagestan is more unsettled (I was a street away from a gun-battle in Makhachkala) but even there, the violence is targeted against the authorities and I don't think there is a significant risk to you as a passing foreigner. That said, I had local contacts which makes things much easier.
The other alternative would be to nip into KZ and take the ferry to Baku.
Daniel
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