An awful lot of Russian DVDs do indeed have Russian subtitles. I have several like that. Especially the older classics. It's irritating, but a lot of modern releases don't seem to bother with them. At least that's how I remember it from last year.

Dubbing is incredibly irritating. An abomination. There are a few countries in the world where cinemas favour subtitles for foreign films, but unfortunately Russia is not one of them.

And brett, yes, of course use Russian subtitles if you have them. There's basically no educational value in watching with English subtitles.