<p>Roe trip: The Caviar Bar at the Angleterre Hotel</p>

What to see and where to be seen

Having experienced one of the most terrifying taxi rides of my life, I arrive, unscathed, at St Petersburg's W Hotel (007 812 610 6161; wstpetersburg.com) and swiftly try to calm my shattered nerves by jumping into my suite's Jacuzzi. However, as lovely as the Bliss Spa bubble bath is, I need something stronger. Swathed in my gloriously soft bathrobe, I make for the minibar.

Suitably fortified, I dress for the night ahead and head to the Caviar Bar of the Angleterre Hotel (007 812 494 5666; angleterrehotel.com). Enjoying an exquisite view of St Isaac's Cathedral, I snuffle down some beluga caviar and sip champagne, surrounded by leggy ladies and their wealthy oligarchs.

I take a short stroll along Nevsky Prospekt, the city's main boulevard, and catch a lift up to SevenSky Bar (007 812 449 9432; sevenskybar.ru). The crowd here is up for a good time, knocking back cocktails while looking glamorous behind floor-to-ceiling windows and against a backdrop of the Venice of the North. Moscow Mule in-hand (wrong city, I know, but I couldn't resist), I watch as the setting sun catches on the bulbousdomes of the Church of the Saviour on Spilled Blood.

I move on to the curiously-named Sakvoyazh Beremennoi Shpionki (007 812 571 7819), or the "Pregnant Spy's Suitcase". I had vowed to a friend that I'd stop by this intriguing spot. As expected, my experience is quite bizarre.

The waitress asks me for a password, then ushers me in, through a torture chamber and then into a Kama Sutra-themed room. Feeling a little out of place, I down my drink and head to somewhere less surreal.

My next stop is the Taleon Club (007 812 324 9911; taleon.ru), where I have been told the city's elite drink, gamble and smoke into the early hours. I am deemed classy (and sober) enough to be admitted, and am free to mingle with St Petersburg's finest. Several glasses of Château Margaux later, courtesy of a deep-pocketed regular, I'm becoming deeply aware that I don't quite fit into this conspicuously wealthy and politically potent scene.

I make a beeline for Dom Byta (00 7 812 975 5599), a trendy spot where I bop away with the artsy crowd, and, of course, dutifully prop up the bar. Three charming young Russians come to my rescue as I struggle to communicate with the severe-looking barmaid. Several shots of vodka later, my new best friends insist that we catch a cab to Greshniki (007 812 570 4291), a gay club that they claim is the best party spot in town. They're not wrong: angels and demons deliver more drinks and we strut our stuff on the heaving dance floor until the sun comes up. I somehow make my way back to the W hotel and collapse between the silky soft sheets.

On awakening, tempting as it is to lounge around, I revive myself under the monsoon shower and set off in search of the caffeine kick I desperately need.

Black & White (007 812 323 3881; blackwhite.ru) delivers the goods. This spot pumps out electro beats while too-cool-for-school 20-somethings sip the finest Italian coffee and chain smoke.

Restored, I need one more jolt to get me going – a traditional banya at Kazachy Bani. Nudity is compulsory for this communal bathing ritual. Once stripped down and among my fellow bathers we sweat in the sauna then jump in ice baths, to and fro, feverish and shivering.

One smiling old lady approaches me, armed with a birch branch and proceeds to strike me over and again, not responding to my cries of protest. When my beating is finally over, she shuffles away.

Feeling a little tender, but now fully awake, I'm about to hail a cab back to the hotel. Then, remembering my first experience, I decide that a drink is probably in order first.

A Hedonist's Guide to ... (Hg2) is a luxury city guide series for the more decadent traveller. For more information, go to hg2.com