Hobby City (at Shchyolkovo), closely followed by Vernisage (at Izmaylovo). Taganka is also nice, but the coins tend to be a bit overpriced. Didn't like Hobby Market at Krasnobogatyrskaya (though some of the coins were rather nice).
Never been on an annual coin show, have no idea where to find one. Have been on a few weekly ones, in Kaliningrad... the coins there were really nice! (Kinda out of the way though, so only useful when on vacation.)
As far as the online stuff goes, the website where I successfully bought the most coins is Molotok, with a total of 1. Sadly it's been closed for several years now; don't recall why.