the deeper you go, more surprised you will be. I bet that russia has the longest gravel roads (official routes) or the longest f*cked up paved roads in the world.
if you are starting from denmark, then one way would be through Belarus, but then again, you would need a visa for belarus also. For Ukraine you would not need a visa but entering to Russia through Ukraine (or Belarus also) would not be recommended, it will take you forever in customs. The easiest way probably would be to take a ship to Tallinn (estonia) and go directly to Ivangorod (russia)
http://maps.google.fi/maps?client=fi...,0.154324&z=13

which is the exact same point I entered Russia. But this is getting offtopic already :P