This was one of my favorite trips! We did Finland, Estonia, and Russia--and Russia was my favorite part of the trip! I would love to go back there. The Helsinki-St. Petersburg-Tallinn trio was nice, because all three cities are so different.
We flew into Helsinki, Finland on Scandinavian Airlines (SAS), connecting through Stockholm. After spending a few days in Helsinki, we took a high speed train to St. Petersburg, Russia. It was so easy! The customs and immigration process took place on the train (FYI-you must obtain your Russian visa in advance...no exceptions!). It was comfortable, there was a dining car, and it only took three and a half hours. The train arrives next to the Ploshchad Lenina Metro station, which you can take into the heart of the city. No need to risk getting ripped of by a taxi--the metro is cheap and easy to use.
After St. Petersburg, we took the high speed rail back to Helsinki for a night (to sleep), and the next morning, we took a high speed ferry to Tallinn, Estonia. In an hour and a half, we were there. We spent a few nights there, returned to Helsinki, and flew home.