In a recent rash of shortwave QSLs being received the Voice of Russia was not to be left out. They sent me a nice QSL honoring their 50 years of manned space flight, 1961 to 2011. I have been a listener of VOR for a number of years and in this particular case I confirmed receiving their broadcast on 9800kHz as well as 9665kHz.
They have some interesting programs, like Red Line, that give an interesting view on the world. As always, I listen for the music of which they do have several programs for that.
I've found that shortwave stations really do want you to provide signal reports and will happily add you to their mailing list. I usually receive schedule and frequency updates a couple of times a year and maybe some stickers or other items displaying the radio station's logo. And it's always neat to see their QSL cards, some of which change monthly.