About the location (from Wiki):
Palace Square connecting Nevsky Prospekt with Palace Bridge leading to Vasilievsky Island, is the central city square of St Petersburg and of the former Russian Empire. It was the setting of many events of worldwide significance, including the Bloody Sunday (1905) and the October Revolution of 1917. The centre of the square is marked with the Alexander Column (1830-34), designed by Auguste de Montferrand. This red granite column (the tallest of its kind in the world) is 47,5 metres high and weighs some 500 tons. It is set so well that no attachment to the base is needed. The eastern side of the square is occupied by Alessandro Brullo’s building of the Guards Corps Headquarters (1837-43). The western side, however, opens towards Admiralty Square, thus making the Palace Square a vital part of the grand suite of St Petersburg squares. The square also serves as open-air venue for concerts by international acts.

Movies shot at this location:
Pilli Pilli Vache from Arjun