I found Iran very cheap ($70) and easy to get - waited just 2 weeks mailbox to mailbox as an independent traveller
Likewise with Myanmar, Syria - quick and easy at the embassy.
Vietnam and India had to be done in advance - both a pain - but it was worth it.
Armenia, Kenya, Laos, Indonesia, Nepal, Cambodia, Jordan, Egypt, Turkey, Qatar, Bahrain, Tanzania, Zambia, and Zimbabwe were all visas on the border. Zimbabwe was expensive - $75 for Canadians!
Last time I had a Russian one was 2002 - I dont remember any hardships once I had a letter of invitation in hand.
I also remember picking one up in person at the consulate of Macedonia in Toronto in 2004 - the consulate was in a residential building....
So far Turkmenistan is the hardest for me - will probably pony up the $500 for 5 days to use a "tour". Did the same in Bhutan last year - but the visa is picked up on arrival.
Kazakhstan has recently raised their visa fees for Canadians to $250 in Canada.... so will be picking it up elsewhere.