That's the famous beginning to many of the jokes from the one and only Yakov Smirnoff, a comedian born when the Soviet Union ruled and later became the focus of his act.
Yakov was born to a Jewish family in Odessa, Ukraine in 1951. Early on he was an art teacher and a painter, but in 1977 he would immigrate to the United States. He was at one point the roommate of another popular comedian, Andrew Dice Clay. He became popular thanks to his demeanor as a bright-eyed, ignorant immigrant and his humorous observations of America with comedic jabs at the totalitarianism (sometimes exaggerated) of the Soviet Union while it was still a major competitor with the USA.
Yakov's jokes typically fell into two categories:
Yakov would comment on some aspect of American culture that is vastly different from his experience in Soviet Russia and exclaiming "what a country!" or he would talk about some statement or advertisement he encountered that he misunderstood thanks to his inexperience. Ex. when he talks about reading employment announcements reading "Part-Time Woman Wanted" he remarks "What a country! even transvestites can get work!"
The other typical Yakov joke was the (now infamous thanks to Family Guy) reversal of nouns and verbs when talking about how things are done in Soviet Russia when compared to how they're done in America. Ex. In the US, you come to the party. In Soviet Russia, Party comes to you! Or in the case of Family Guy: "In Soviet Russia, road forks you!", though Yakov's jokes often talked about some negative aspect of Soviet life rather than just ridiculous statements. Early on in his career he simply said Russia, but once the USSR broke apart, he added the Soviet part to his act to clarify.
An example of Yakov's comedy at the 9th Annual Young Comedians Special
Once the Soviet Union collapsed however, Yakov's popularity diminished greatly since the bulk of his act dealt with poking fun at Soviet life. Once the USSR was gone, Yakov's act lost much of it's substance since no one really wanted to hear Soviet Russia jokes afterwards.
This clip from the Ben Stiller show parodies Yakov's comedy post-Soviet Union
Yakov continues to do comedy shows and paint. In fact, after the September 11 attacks, he painted a mural that expressed his feelings regarding the attacks and which was hung up in New York until it had been damaged due to storms.
Yakov's 9/11 Mural