For the 2011 Premiere Games the NHL hinted at the Washington Capitals (and their captain, Moscow native Alexander Ovechkin) playing the New York Rangers in St. Petersburg. This would have been the first game played in Russia for the program.
Unfortunately, negotiations between the NHL and the Russian KHL have fallen through and I can completely understand why. The Kontinental Hockey League is in a state of disarray. It is not financially stable and teams are consistently on the verge of folding. Why would they want to promote their biggest competitor when they are so vulnerable? They are also demanding more money than the NHL is willing to shell out.
I'm waiting for the day I see stuff like THIS happen in an NHL game, though!