Take a small boat through the canals - they can be found in various places such as next to the Winter Palace and along Nevsky Prospect. You can either take a boat trip during the day or at night. During the day you can see the features of the buildings a bit better and get a sense of the beauty of the architecture. If you want a romantic time with your significant other, I'd recommend the night cruise. You can still see all the famous buildings and the lights of the city really make the time slip away making for a memorable occasion
St.Isaac's cathedral contains the third largest cupola in the world. Its a harrowing climb to the top but well worth the beautiful views of St Petersburg that can be had up there. cathedral itself is beautiful but the views from the top are spectacular as well There is not a better place to get a feel for what life is like for the majority of people that live here unless you take a ride in the metro.The fares are pretty cheap and the stations often contain beautiful artwork and sculptures. There are 5 lines now and you can get almost anywhere in the city efficiently and quickly.Russian food is filled with tradition and flavor. Russian 'pirogi' or pies are very tasty and come with many different fillings - meat, potatoes, fruits, etc. Russian 'blini' or pancakes are the best type of Russian fast food you can find with similar fillings to the pies but blini with Russian caviar is exquisite. Russian ice cream is popular year-round, even during the winter you will see Russians eating ice cream on the street - it is just that tasty. Pelmeni is Russian style dumplings filled with meat and best eaten with sour creamThe 
Russian souvenirs are recognized around the world for their uniqueness and make a great gift. Matryoshka dolls or nesting dolls can be found in all different styles - the iconic beautiful Russian woman, political leaders, sports stars - whatever your interest you can probably find a matryoshka to reflect your personality. Also among the popular gift items is Russian caviar which is well known for its quality (and sometimes its price - be careful and shop around a bit). Another item that is widespread is cheap DVDs and Software - though technically not legal and the Russian government has been cracking down on this lately it can still be found.
Near the Winter Palace you can find strange looking boats that seem to glide on top of the water - these are the hydrofoils that can take you to one of the most beautiful places in St.Petersburg - Peterhof. The fountains of Peterhof are well known for their extravagance and beauty - this is a place you definitely must see.
Russia is a cold place for the most part and during the winter it is especially important to keep warm. Taking things to the extreme is literally in the Russian blood in this case - the Russia banya is a sauna where they prefer really, really hot temperatures and being beaten with birch tree branches followed up by jumping into extremely cold water. This one is not for the faint of heart but afterwards you feel spectacular