The best and the worst part about Russia was leaving it. The best part about it was that I no longer felt like I was in trouble. Russia has a way of making you feel like you are about to be sent to your room (or worse) all the time. There is a definite Big Brother feel with omnipresent voices that reverberate over city speakers. Everything is difficult and friendliness is not their forté. Obtaining a visa is hard (and expensive) enough, but then you are also required to register your visa upon arrival. If you stay at an established hotel, the hotel will do it for you, but if you are a budget backpacker, you will find that not all hostels will do this for you and if they do, they charge you a fee. Also, this process is completely different according to whom you talk. Some say if you stay in one city more than 3 days, then you must register, (in each city you visit!) but if you hop around and don't stay more than 3 days in each city, then you are OK. You will also read that there are heavy fines if you don't register your visa when leaving the country. AHHH! At this point, you are just itching for a straight answer that you soon realize, you will never get.
SO... we registered our visa's in two places (Olkhon Island & Irkutsk) just in case, which entailed passing over your passports, the registration fee (which varies according to who's doing it), and the next day you receive a piece of paper confirming your registration that you are to keep. The whole thing seems so unofficial. Needless to say, we were ready to cross the border (hoping without incident) into Mongolia.
But let's get to the worst part...
First of all, remember our lovely air-conditioned cabins from our Trans-Siberian adventure? They are all but a distant dream. We learn that the higher the train number, the worse the trains get. We took train 2 from Moscow to Irktusk. We are now taking train 362 to Ulaanbaatar. The proof is in the pictures...
Another major difference between the Trans-Siberian train and this one is that while the first leg was primarily all Russians, this car had none! It was all foreigners. We board and there is a group of jovial Portuguese all traveling together. We congregate in the hallway, take a shot of vodka, and toast to the trip. Our other two roommates are a British and Swiss guy. It's an international affair. We boarded at 10pm so we went to sleep shortly thereafter for night 1 of 2.
We knew we would hit the Russia/Mongolia border the next day in the afternoon and we also knew from a couple who crossed days before us that we were to expect about a 6 hour stint at the border. 
So comes the worst part...
We get to the border and what should take maybe an hour, takes the 6 hours we expected. After we get to the station and play disconnect and connect cars for awhile, we find our car all by itself on the tracks. Officials then board the train, look at our passports and visa's to make sure we haven't overstayed, etc. and then leave. Then we are told we have 3 hours before the next phase. (Why? For what?!?!) We can get off the train and meander around, but there is really nothing to do and nothing happening. 
It's a total stand still. After the 3 hours pass, we have to all re-board and they come to collect our passports (why couldn't they have done this when they first looked at them?) at which point they don't even look at the registration papers that we stressed out over. I use them as a fan, which was the most use I could make out of them. Then customs control boards the train and they search our cabins. Then we wait again for our passports to come back with stamps. Meanwhile our lonely car is hooked up to a Mongolian engine and we finally leave the station 6 hours from when we got there.
When we get to the Mongolian side, we go through similar procedures which only take maybe an hour at most.
I am already liking Mongolia better. 
We have another hour to wait while they hook up more cars to the train and by the time we leave it's around 9pm local time. Did I mention that as soon as you cross the border, you no longer are on Moscow train time (even though you are traveling 5 hours ahead of Moscow), but local Mongolian time (which is an hour behind local Irkutsk time so we lost an hour) so by this point, your sense of time is totally useless. It's like math class and I was always bad at math. All I knew was it was dark and we had to get up at 5am the next morning so it was time for bed.
We were woken up the next morning at 5am to prepare for our 6am arrival into Ulaanbaatar. We were tired but the sunrise was beautiful. Now this is what I'm taking about...
I think we are done with trains for awhile.