it was long past midnight on the train to Moscow and, as the suburbs of St Petersburg receded, the darkened landscape rushed by in a blur. In the restaurant carriage, where a few passengers remained, I was being scolded by a local acquaintance. I'd been stirring my Bloody Mary, you see, and this is not the done thing in Russia, where vodka must be savoured in as unadulterated a way as possible, even when mixed into a tumbler of tomato juice. White Russians are always served double by their namesakes. Order a glass of the house white here and you'll get a disdainful, "what a wuss" stare from your waiter. Luckily, I hadn't got around to asking for the Worcestershire sauce just yet.

I was enjoying a luxurious, long-weekend fling in the arms of Russia's twin world cities. Like blinis wolfed down between vodka shots, I broke up each cultural flashpoint with a slice of Russia's notoriously variable food, and a slug of its signature tipple.

It may sound like a breathless few days, but it's time enough to savour some of the highlights of both St Petersburg and Moscow – and brief enough to do so in style.

The past and present Russian capitals are linked comfortably and conveniently by a whole fleet of night trains. They're also not so very far away from home. Just three hours out of Heathrow, we landed in St Petersburg on a sunny spring Thursday, the air clear and crisp.

St Petersburg is known as the gateway to Russia, the Venice of the North, the motherland's imperial and high-cultural capital. Its greatest strength is officially known as The Russian State Hermitage Museum – which hardly does it justice. It is the former Winter Palace of the Tsars, now a 13-mile art gallery comprising more than 300 rooms and three million artefacts (not all of them on display), including the world's largest collection of paintings.

I was staying at the historic Astoria Hotel, which once served time as a Bolshevik military hospital, and was the place where Hitler planned to host a banquet following what he assumed would be a successful Nazi conquest of the city. After suppressing the urge to swipe one of the monogrammed bathrobes, I was whisked to the Mariinsky Ballet – formerly the Kirov, and arguably the best in the world – for a performance of Giselle. Not being a connoisseur, I couldn't tell you which pirouettes were closest to perfect, but there were plenty of people yelling "Bravo!" and, lest I fall asleep in the second act, I was sustained beyond the intermission by a great slab of white bread and smoked salmon.

Seasoned travellers have long derided Russian cuisine. But remember, this is the country that gave us caviar, beef stroganoff and chicken Kiev. (Yes, this dish is actually from Ukraine but, funnily enough, the Russian treat it as if it were theirs.) Many meals begin with a round of zakuski, the small snacks that are the closest Russia gets to Spanish tapas. They comprise small and delicious dishes – of herring, or smoked meats, or pickled cucumber, or caviar and egg salad heaped on to blinis – designed to divide one glass of vodka from the next. An excellent selection began my post-ballet dinner at Sadko, a modish St Petersburg spot serving modern takes on traditional Russian grub.

Sadko's Kiev, sure enough, was the best I've tasted (it had only the M&S version to beat); succulent chicken containing a rich well of garlic butter, though served with rice – I'd prefer chips and garden peas, thanks very much.

The vodka, meanwhile, flowed freely. For those of us accustomed to supermarket liquor mixed with some unbranded, sugary soft drink, it's a surprise to learn that you can, in fact, taste the difference: between smooth or fiery vodkas, potato or grape, premium or everyday.

Vodka is as much a state concern as oil, gas or ballet. Though owned by the Soviet administration, James Bond's favoured brand, Stolichnaya, enjoyed a worldwide distribution deal with PepsiCo during the Cold War, which also allowed Pepsi to be the first Western product sold in the USSR.

In 1992, "Stoli" was privatised along with other Soviet industries. SPI, the company that turned it into a $2bn-per-year global business, remains locked in a legal dispute with the Russian government over ownership of the brand.

In the early Nineties another vodka-fuelled feud erupted between the Russian Smirnov family and the American distributors of Smirnoff vodka. Boris Smirnov, a descendant of Pyotr Arsenyevich Smirnov – who built the first Smirnov distillery in Moscow in the 1860s, and whose successors fled to the West when it was confiscated following the October Revolution – began to use the Smirnov name on a new vodka distributed in Russia, claiming his was "the only real Smirnov". A couple of lawsuits later, however, Smirnoff North America retained the rights to the trademark.

So-called "premium" vodka is dominated by a young pretender, the Russian Standard brand, which has been around for only a decade but already claims to command more than 60 per cent of the premium vodka market. Its base is a £40m state-of-the-art distillery on the outskirts of St Petersburg. Russian Standard's dynamic founder, Roustam Tariko, ought to be particularly pleased with his four thriving vodka lines; his other major business is banking.

The Grand Hotel Europe was Russia's first five-star hotel; it boasts a guest book filled with everyone from Bill Clinton to Björk, and was used as an orphanage and a hospital during successive World Wars. And it's Russian Standard's high-end Imperia vodka that's served in the hotel's Caviar Bar at dinner time. Its velvety, herbal taste is a fine complement to the caviar and quail's eggs starter.

I'm partial to the cheaper red caviar that comes from salmon roe and bursts on the tongue like pomegranate seeds. But it's the black stuff that'll break the bank, and the sturgeon that supply it have long been under threat from overfishing. So rampant was the illegal trade in caviar from Black Sea stocks (which account for 90 per cent of the world's sturgeon) that in 2007 the Russian government imposed a ban on black caviar from sea-caught sturgeon. Something special is still being served at the Grand Hotel Europe, however; I can only assume they have a cellar full of pre-ban beluga cans.

Taking the train is the best way to get a sense of Russia's vastness, although the eight-hour journey from St Petersburg to Moscow is a mere hop and a skip compared to, say, the week-long Trans-Siberian trek to Vladivostok on the Pacific coast. One comfortable kip later, and we were pulling in to Moscow's Leningrad Station.

Where St Petersburg is refined and self-consciously European, Moscow is the brash and bold capital of Eurasia. Only Istanbul could claim to encapsulate a comparable clash of worlds. The architecture is a patchwork of Byzantine, Baroque and Soviet. Old and new, East and West, ultra-rich and dirt-poor all mingle far more freely than the mixer in that Bloody Mary of mine.

The Russians aren't the sort to do things by halves, and unlike their Scandinavian neighbours, they tend to indulge their maximalist tastes. Even the underground stations look like palaces. Take the Eliseevsky Supermarket on Tverskaya Street,V C Moscow's main drag. Like Fortnum's or Zabar's, it's the city's first stop for discerning food shoppers. Vast chandeliers dangle over the deli counters, while shelves full of sweet treats, spirits and souvenirs are upstaged by the lavish pre-Revolutionary interiors.

Just down Tverskaya from the Eliseevsky is the Moscow Ritz-Carlton, which was built on the rubble of one of Soviet Russia's least missed landmarks, the Hotel Intourist. One Ritz-Carlton, you might imagine, is very much like another. Plush suites stuffed with Bulgari shampoos, fried eggs to die for and a bill that your bank manager might die as a result of. But not every Ritz-Carlton is a stone's throw from the Kremlin, and nor does every Ritz-Carlton boast a rooftop bar with a 360-degree panoramic view of the city skyline from 10 storeys up. I'm told the swimming pool is lit through Swarovski crystals.

I didn't have time for a dip, however, because soon after check-in, it was time to take a stroll around the Kremlin. The sprawling fortress at the heart of Moscow is still home to the office of the nation's President, and just outside the walls in Red Square is Lenin's tomb, and those of his Soviet successors from Stalin to Chernenko.

The Kremlin also contains the world's largest bell, the (sadly broken) Tsar-Kolokol. It lays claim, too, to the world's biggest cannon and balls, though the citizens of Jaipur in India dispute that title. And a series of spectacular churches – three of them full-blown cathedrals – litter the Kremlin's courtyards and squares. It makes for a rather exhausting tour so, for a sit-down, we headed to Stoleshnikov Lane, a cobbled street more stuffed with boutiques and luxury brand outlets than New Bond Street.

One of them, the Simachev Shop and Bar, is owned by Denis Simachev, whose cocktails of traditional Russian patterns with cutting-edge styles made him the first Russian designer to show at Milan Fashion Week. The front of the two-storey brownstone is decorated with Simachev's favourite design, like some Russian remix of a William Morris floral motif in red, yellow and black. It is based on an old pattern that would once have been worn only by ageing babushkas.

And then to one last dinner. Only in Moscow could a novelty restaurant be the best in town. Café Pushkin, named after the Russian Romantic poet, is decorated on a 19th-century theme; the waiters are dressed accordingly, and the lights low enough to disguise any inauthenticities. The food is unexpectedly fabulous. The saliva-inducing starters range from jellied pike to chicken giblets; I chose perfectly creamy stroganoff with chopped gherkin for my main course, and managed to snaffle a couple of mushroom-stuffed dumplings from my dinner companions, too.

The final stop of the evening, since I was feeling adventurous, was Soho Rooms, one of Moscow's most exclusive superclubs. For a former socialist state, Russia's nightlife is remarkably hierarchical. Even getting through the door of one of the capital's top clubs means having friends in high places. And once you're inside the Soho Rooms, watching half-naked dancing girls throw shapes as you try to order a bracing cocktail, it becomes clear that the sprawling network of bars, back rooms, stages and dancefloors aren't all open to just anyone.

After a night of moderate, Moscow-style hedonism, brunch at Bosco on Red Square – like a slap in the face of the late-morning meal's American inventors – was the least successful serving of the trip. Herring (or whatever it was) and raw vegetables seems unsatisfying to a Brit raised on hangover breakfasts of bacon, eggs and the rest. But then the Russians know more than most (as much, I suspect, as the French) about matching booze to food, and this healthy repast might be just the ticket.

Strange, though: three nights of vodka-drinking later and I was yet to suffer a serious hangover. And there I was thinking it was some urban myth.

Getting there

The writer travelled as a guest of Russian Standard Vodka. For more information, visit russian

St Petersburg is served by BA (0844 493 0787; from Heathrow and Rossiya Russian Airlines (01293 505886; ) from Gatwick and Heathrow. Moscow's Sheremetyevo airport is the hub of Aeroflot (020-7355 2233; ), which flies from Heathrow; Domodedovo is served by BA, BMI (0870 607 0555; ) and Transaero (0870 770 2852; from Heathrow. The Grand Express train (007 495 787 5369; ) is one of several overnight services between Moscow and St Petersburg.

Staying there

Hotel Astoria, 39 Bolshaya Morskaya, St Petersburg (007 812 494 5757; ). Double rooms start at 11,570 roubles (£228) room only. Grand Hotel Europe, Nevsky Prospekt, 1-7 Mikhailovskaya Ulitsa, St Petersburg (00 7 812 329 6000; ). Doubles start at 11,446 roubles (£226), room only. The Ritz-Carlton, Tverskaya Street 3, Moscow (00 7 495 225 8888; ). Doubles start at 24,780 roubles (£489), room only.

Visiting there

Mariinsky Theatre, Teatralnaya ploshchad, St Petersburg (00 7 812 326 4141; ). Book online, seats from 400 roubles (£7.90). The State Hermitage Museum, 34 Dvortsovaya nab, St Petersburg (00 7 812 710 9625; ). Book in advance from the website for US$17.25 (£11.50). Kremlin, Moscow (00 7 495 624 5503 ). Open 10am-5pm daily except Thursday; admissions to exhibits vary.

Red tape & more information

British nationals require a visa. Apply to the Embassy of the Russian Federation, 5 Kensington Palace Gardens, London W8 4QS (020-7229 8027; ), £45 for a single entry. You must provide a tourist voucher and confirmation in Russian from a tour operator. Russian National Tourist Office: (020-7495 7570; ).