I also don't know how it is for Canadians, but US citizens don't have to apply for Russian visas in the US; I've gotten one in Milan and friends have gotten them all over Europe. IIRC there is a clause in the US-Russia visa treaty allowing for this.
When I got my visa in Milan, I had to leave my passport with the consulate for two week while I waited for the visa, so took the opportunity to explore Italy.
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