Back to the original question- first one must trust the dealer. Reputation is all important when it comes to anything Russian. Fakes are more common than authentic items. Also- what is one looking for ? If it is Faberge, good luck and be prepared to make a lot of mistakes before striking gold. Some things are fairly easy to find, with a bit of patience and effort. Commemorative medallions, medals, post cards, etc. can usually be reliable if only because the demand does not warrant rampant reproduction. Having said that, IMPERIAL FAMILY post cards are massively reproduced. One needs to be a specialist in that field if one is prepared to spend the funds.
There are reputable dealers of Imperial Russian items, in New York, Chicago and especially London. The prices are HIGH for good quality and value. Be wary of buying from sellers in Russia itself, although there are reputable ones there as well. There is so much new stuff, still good quality, but being passed off as "antique".
Try to decide what it is you want to collect- books, ephemera,fabrics, memorabilia, pfotos,china/porcelaine/medals, coins, stamps, militaria etc.
Then decide how much you have to spend.
look around the local shops in your area, see if anyone has Russian items.
Be willing to trade- say you want Imperial Palace plates, but find a malachite bowl, well, that bowl might come in useful for a trade. All depends on price, of course.
If you are into books, well, some are worth the cost, but remember that almost everything is being reprinted, especially via the internet. So, you want a Baedecker- $900. A net copy costs nothing but paper & ink.
Just a few thoughts from a semi-retired antique dealers household !