I know that you can read any ebook in the EPUB, PDF, and LRF format because the fonts are embedded into the documents. I have heard of being able to convert the Russian fb2 format to an EPUB or PDF so you can read without needing theCyrillic alphabet.
You could try to post the question on http://ereaderquestions.com/ to see if they can't help you a little more.
I am a college student and for my Russian literature courses most, if not all of our books are available online. Considering that reading off a screen for prolonged periods is tiring for my eyes and also limits the ability to read on the go I was forced to print out 300 page books. Now I am looking into ereaders and considering that the new Sony one (PRS-600) can use Word and PDF file, that is the one that interests me the most.
However, main question is if anyone knows if the reader can support any language? Specifically Russian (Cyrillic alphabet)? Even though in my opinion the language should not matter as it is only a screen, another brand reader listed languages supported, sparking my question.