I also really enjoyed the Russian Museum, the world's largest collection of Russian art, housed in a nearby palace named Mikhailovsky. The collection mostly dates from the 18th through early 20th centuries and is heavy on 19th century social realism.
Saint Petersburg must have some of the greatest collections of art in the world. Supposedly the Hermitage is the second largest art museum after the Louvre with umpteen thousand paintings and a few quadrizillion pieces in all if you count every old coin or pottery shard separately. However, I found the surroundings to be at least as impressive as the art itself, since it's housed in the Tsar's Winter Palace as well as the Hermitage buildings which they had constructed for their growing collections. Most art museums are deliberately plain so as not to distract the viewers attention from the art, but at the Hermitage most of the rooms are works of art in themselves, the paintings and stuatues sometimes seeming only secondary.