In Russia these are a cultural event you should not miss. There are so many theaters in Moscow. The Big Theater (Bolshoi Theater, Metro: Teatralnaya) is the best but most expensive, and Bolshoi tickets are almost impossible to buy at the ticket booths throughout the City.
You can go to the theater before the show starts and purchase from a scalper but expect to pay at least $50 US and Up. Box seats that seat 6, regular price is only $8.00 US. Most of the other theaters are quite inexpensive, some cost as little as 25 cents. All Russian theater is good and worth seeing, as are the ballets. They don't allow photography or video in most theaters so be discreet and use high speed film and no flash.