THE GREAT THING about being a tsar (as Peter knew, being one of the Greats), is that you can pretty much run things as you like. 'Build me a city at the head of the Gulf of Finland (BTW, I've just won that war) and make it like Amsterdam. But with more art.'

And so we have the mad, glorious confection that is St Petersburg: Venice on the Baltic, with canals and gilded Russian-baroque cathedrals, palaces stuffed with Renaissance art, bits of palaces built to look like the Vatican, and more palaces built just to house more art.

Parks and rivers, sumptuous salons de te with cakes to rival Vienna, crazy psychedelic onion domes. And so much gold, dahlink: real gold leaf on the dome of St Isaac's Cathedral, the golden needle spire of St Peter and St Paul's Cathedral glittering across the river from the fortress, and an all-gold drawing room in the Winter Palace (well, why not - who's going to tell a tsar it's Too Much?).

No buildings in the city were allowed to be taller than the tsar's gaff, the Winter Palace, which turns out to have been a great planning code. The city's restrained mansard roofscape looks like Paris, except... no balconies (all that snow).

It was winter. We wanted snow. We had our fur hats. (And even if we didn't, charming fur-hat sellers in Palace Square had everything furry or fake we could have wished for, and were refreshingly un-rapacious.) Instead we had dark: good-going, middle-of-the-night dark until well gone 9.30am, which makes for slightly surreal pre-breakfast sightseeing. Don't worry about a morning rush-hour, though: no-one seems to be in a hurry to get to work in this kind of gloom. Breakfast is served late, and the sites don't open till 10am.

We did get a day of snow, and it was picture-perfect gorgeous, but first we had China-blue skies and sunshine (Only 75 days of sunshine a year, you say? We had two of them, thanks.) And it should have been a waste being indoors in the VAST city of art that is The Hermitage, except that so much of it overlooks the sparkling river it was like being inside a chandelier.

This is a complex of palaces and galleries you shouldn't even  contemplate  tackling without a guide: you'd be exhausted before you got beyond the labyrinthine cloakrooms. We were in the hands of the charming and very knowledgeable Svetlana Shestopalova, booked via the tirelessly helpful concierges at the Hotel Kempinski Moika. Svetlana took on board   our personal cultural predilections: skeletons and prehistoric coracles - nyet. Show us the gold, show us the jewels, show us the Renaissance art and the booty...

So much art. The Russian Museum adjoining the Mikhaylovsky Garden was so vast we nearly missed our taxi to the airport finding our way out. Such amazing churches: who couldn't love a house of worship built on the spot where a tsar was assassinated, and called the Church on Spilled Blood. PS: a great little outdoor market opposite, selling lovely brightly-painted onion-domed Christmas decorations. Very gentle bargaining with the stallholder: 'You find them cheaper at the other stall? But what a shame - they will not be quite as lovely as these ones..."

The Baltic wind does snap at your cheeks when you cross the bridges (called Most - we thought they were all rather superlative to start with) to the larger islands. The original wooden "Cabin of Peter the Great" is where the great man lived the simple rustic life supervising the thousands of starving serfs drafted in to build his city's founding fortress. It's not much to look at, but lovingly preserved inside a larger building, just along from the fortress, and the slightly dour babushkas taking our tickets were the only less-than-warm welcome we encountered anywhere. So much for the legendary Soviet grumpiness.

There were plenty of non-art museums which would be fun for kids, but we missed some of them due to confusing winter opening times (watch out for that). We didn't miss tea. Or hot chocolate. Or cake. Russians take all this very seriously, and Russia's most famous street, Nevskiy Prospekt served up the goods at two memorable locations.

Cafe Singer is upstairs in the landmark Art Nouveau Singer building (designed as the HQ for Singer sewing machines in Russia) which now houses a wonderfully browsable bookshop (if your Cyrillic reading isn't up to much, there are good cards and calendars). Bookish atmosphere, proper waitresses, serious cake.

The Elisseeff (Eliseyev) Emporium is another Art Nouveau gem which survived 70 years of state ownership, was threatened with being turned into a perfume emporium, and after a public outcry was restored and reopened as a grand palace of food in 2012.

Sit on the circular velvet banquette under the giant central pineapple and the sparkling chandeliers, and feast like a tsarina on delectable cakes and petits fours, while directing your servant to pick up the groceries from the sumptuous displays of charcuterie, cheeses, caviar and patisserie in the dazzling glass and brass display counters. Brasserie downstairs, restaurant upstairs (wonderful cloakrooms: this is the place to powder your nose). It's clear we hadn't calculated   enough time for eating.

We did get to the charmingly quirky Teplo, everyone's favourite, on Bolshaya Morskaya. It was like eating in someone's sitting-room, with mismatched tables and chairs and odd collections scattered about. Simple, thoughtful food, really well cooked (bookings essential). We didn't linger long enough because we were en route to the ballet at the Mariinsky (Kirov). Big treat.

Our hotel concierge had thought we might be disappointed that the ballet would be in the new Mariinsky II theatre , not the grand and ornate Mariinsky old theatre building. But what a thrill as we hurried towards it, along the side of the Krykov Kanal. Designed by Canadians, rivalling the Lincoln Center, ranked amongst the most expensive cultural projects in the world and opened just last year (May 2013). It's an absolute stunner. Doubtless fantastic for the artists and musicians to work in, but a delight as an audience space. We loved the giant staircase of seating overlooking the foyer where you could sip your champagne during the interval and look out for friends in the crowd. And the ballet was amazing, too. (We expected no less.)

It apparently has a rooftop amphitheatre for use during long White Nights of summer. What magic! And here's the thing. St Petersburg seems like the perfect winter destination. Fur. Cakes. Every theatre and museum equipped with lots of banquettes opposite the cloakrooms, where you can sit to swap your snowboots for your indoor-shoes (sensible Russians always carry a spare plastic bag to slip them into).

But it's obviously a completely different city in summer, with leafy parks, street carts selling ice cream  and juicy slices of watermelon. And so many galleries yet to see. The Summer Palace!

The solution... come twice.