For prestige, you can also get some by getting some techs first.
For Russia... I began by concentrating my industrialization in the Moskva and Saint Petersburg regions - eventually having 15-16 factories in both, almost all up to level 4. Also a few in the surrounding regions - altogether these formed my 'industrial complex'. Allows for easier and quicker railroading of my economic engine.
The factories I tried to go for ASAP to make money will be steel mills, followed by the fabric->clothes->lux clothes and lumber->furniture->lux furniture lines. The ammo and fertiliser->explosives also gives good profits. It doesn't matter if the primary factory is earning a loss; you can make up for it fr the usually vaster profits for the factories down the production line.
Once my factories are built, I'd stuffed them with a proper workforce, by converting POPs. 2 clerks and 3 craftsmen for each factory level. I usually convert clerks in units of as close to 100000 each as possible - clerks also contribute to your research, esp after you'd gotten the biologism cultural tech. Such a large POP would also split sooner; giving me even more clerks at no cost.
For craftsmen, I'd try to convert those with lesser numbers, to save the biggest POPs for conversion to clerks.
I avoided the troubles or opportunities in the Balkans or the Ottoman south; concentrating instead against the weaker Central Asian khanates, Persia, Afghanistan and China initially. After I'd gotten Afghanistan I was also careful to create a string of satellites betw myself and British territory. Remember, as Russia, your greatest and most damaging enemy will be the Brits - you'd have to fight them sooner or later.
Be warned though; if you want to play a good game as Russia, prepare for a lot of work.
Fun though.
