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The Library of Congress has a wonderful online exhibition of photographs taken by Sergei Mikhailovich Prokudin-Gorskii, "the photographer to the Tsar".
The photographs of Sergei Mikhailovich Prokudin-Gorskii (1863-1944) offer a vivid portrait of a lost world--the Russian Empire on the eve of World War I and the coming revolution. His subjects ranged from the medieval churches and monasteries of old Russia, to the railroads and factories of an emerging industrial power, to the daily life and work of Russia's diverse population.
In the early 1900s Prokudin-Gorskii formulated an ambitious plan for a photographic survey of the Russian Empire that won the support of Tsar Nicholas II. Between 1909-1912, and again in 1915, he completed surveys of eleven regions, traveling in a specially equipped railroad car provided by the Ministry of Transportation.
There are some truly stunning pictures in this collection, wrapping a painterly sense of color and light with a hyper-realistic sheen. It is amazing to think that many of these photos are now around a century old, and to dwell on the enormous change that this world would soon be experiencing.
Some of my favorites:
Cathedral of St. Nicholas, Mozhaisk
The Emir of Bukhara
Jewish Children with their Teacher
Portrait of Pinkhus Karlinsky, 84 Years Old
View of the Nilova Monastery
(Hat tip: Abiola Lapite)
Update (3:27 PM, Jan. 31st, 2005): I'd crossposted this from the Dictionary of Received Ideas and in the comments there Explora mentioned that Yale's Beinecke Library has a collection of the Tsar's photo albums. Go here and type in 'Romanov'.