First, the bad news:
1. Ho(s)tel prices
2. Unfriendly, unhelpful, monolingual people (there are of course exceptions)
3. Traffic, and the lack of pedestrian crossings
4. Bus stops without a schedule
5. People cutting in line, or trying to get on the metro before the last person has gotten off

But these make it all worthwhile:
1. The metro
2. The views from Kamennyj Most
3. Stalinist architecture
4. The fact that you could be walking around virtually anywhere, and stumble on some amazingly beutiful building (usually a church)
5. Park Pobedy