The film, "Russian Ark". was mentioned above by NAAOTMA. The story is rather obscure and not at all interesting, but if you would like to take a tour of the Hermitage Museum and the Winter Palace, by all means, this is an excellent tour film. All the scenes were shout in the palace, using actors in period costume (the uniforms of the various officials and officers are gorgeous and from different periods in time). The actions goes from one state room to another, the St. George Hall, the Little Throne Room, the Winter Garden, the Rotunda Room and concludes with a ball scence in the great Nicholas Hall. If one is interested in seeing the Winter Palace close up, this is a good way to do it. One can safely ignore for the most part what the actors are doing and just enjoy the scenry.
Also a good video tape is "The Last Days of the Last Tsar" by Cyrillic Films, 1993. It deals mainly with the Ekaterinburg murders.