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Heart of Leningrad - another amazing song!
Beat my heart, go on! - it's just increbible
http://www.youtube.com/watch?v=yM1ImfvvCHs

I'm walking back from hell
Buried my life again
Stand alone,...

Well it's not Russian band but Italian. However I suppose it will be appropriate here. It's melodic death metal band.
http://ru.wikipedia.org/wiki/Dark_Lunacy
Their album "The Diarist" (2006) is...