Yes, way too cold in the winter... Most "sail" June, July, August. We just booked Seabourn for June 2013. We can hardly wait!!!

You'd need to find an icebreaker.

It's possible during the winter but almost imposible with American cruise lines. There are daily departures also during the winter with Scandinavian cruise lines...

these are technically ferries but are huge ships with indoor atriums. They are the model for the RCCL ships that you see today. I have been on them for business reasons and are a reasonable option

http://www.tallinksilja.com/en/

Baltic cruise
 

If you are at all interested, National Geographic/Lindblad does a cruise aboard their ship, Explorer. I did the cruise last year and we had the opportunity to have Mikhail Gorbachev speak to us in a small auditorium. And, coming aboard the ship, Lech Walesa talked with us with his arm on the bar for about an hour. Each person also had the opportunity to have their picture taken with him. Though extra, you can attend a performance by the Bolshoi ballet.

I thought the itinerary was great and you might want to check it out. Great ship and a wonderful group of people.

Just came back from an August Baltic cruise on Princess.
Best cruise ever-the cities are amazing. However, i agree that if you can afford a more luxury cruise line that gives you 2 nights and 3 days in St. Petersburg,book it!
If you cannot,book a cruise that has you in St. Petersburg on a Saturday and Sunday. Why? Traffic! There is none on weekends! St. Petersburg is also a city to definitely use a local tour company. We went with SPB tours and had a group of 4! The other couple we toured with was on a SilverSea ship but it was no problem with pickup and dropoff with our small size group. We paid $150 less than the megabus ship tour and had valet service at all of our sites with our own driver and guide-we could leave our valuables in the van which was locked and the driver stayed in sight at all times-very nice considering the huge numbers of pickpockets at sites. We saw and did more in less time than those who opted for ships tours. Our guide was amazing,her name was Maria, and our driver was Max-so dear. The owner of this company-Vikortia- makes a point of meeting all of her customers at the port to make sure we had a great visit! She entrusts her 2 gorgeous children to Max to drive them around so we knew we were in excellent hands.
We got in extra early at the Hermitage and with our tiny group we slipped past the huge groups of 30+ and were often the first people let into rooms at the Hermitage. They also took us to really great small local restaurants for authentic Russian lunches and no lines there either.
I would say that the cruise line itself is less important than the itinerary.
Do not miss Tallinn,Estonia-what a jewel of a city. And if you can spend as much time in Stockholm as possible do that too.
I hope to take my daughter back but will most likely NOT choose Princess as they had a very short time in Stockholm. Celebrity had better itineraries out of the London area than Princess. I agree that the cruises that start/end in Copenhagen/Stockholm are a great idea-like Seabourn or SilverSea. The couple who were on SilverSea did not seem to think their food was that great though.I was also disappointed with Princess food on this cruise compared to other cruises with them. I wonder if there is just a problem with food suppliers in that part of the world?

One more thing,
Do not worry about needing a visa if you use a local tour company in St. Petersburg. Getting through customs there was a breeze as long as you ignore the sourpuss agents!
All local tour companies will provide you with a tour ticket(via email that you print and bring with you) that has their official company stamp on it, so then all you need is your passport and the immigration card that your ship gives you in your stateroom.
I found it easier to go through customs in St. Petersburg than going through airport security!
Don't believe any scare tactics or intimidations by the cruise lines that you can't see St.Petersburg unless you book a ship tour. Total lie and bogus.

The food likely isn't coming from that part of the world, and who knows where it's being shipped in from. Might be less true on some of the smaller lines, but certainly with Princess, it's largely loaded in from shipping containers. (There's a part of me that loves watching them load this stuff in, it's astounding the volume of supplies that they have to bring in. It can also be real amusing when the local workers aren't necessarily the most competent people in the world, watched that in Trinidad.)

BTW, which ship were you on?

Also good to hear opinions on one of the local companies. I'm going to have to start working out some of my plans for next summer on this trip.