I have not roleplayed for some time, but I have developed a campaign very similar to your ideas that was inspired by Slavic mythology and dark ages Europe (but central Europe, not Russia). I have GURPS Russia, and have seen previews of similar books, already mentioned in this thread. I think that most of them are missing the point with Slavic mythology and these people dont know history of Europe, much less Russia. Baba Yaga as a goddess is total nonsense. Things like Ravenloft might actually be more interesting. Web pages in english might confuse things even more, and warnings on wikipedia are well meant!
One good source is at:
http://p087.ezboard.com/fistorijabalkanafrm28.showMessage?topicID=43.topic
Peasants love the support of the king's soldiers, and hard work and limited freedom seems like a small price to pay in exchange for protection.
Man, you are one of few roleplayers I have seen who actually understands how feudalism is supposed to work! You are definitely on the right track.
I will give more details: In middle of a village there was usually "mansion", a small castle or fortified (made of stone) house or villa. This was the seat of a local lord or knight who was a representative of the king, but it could also act as a refuge for peasants when marauders approached. Their homes would probably be destroyed, but that is a small price for your life. The knight would hunt game and brigands and generally acting as a sheriff, often teaming up with others and of course, when there was a war they were military elite, because they were mounted and trained.
As for my game I used four civilized races: humans, orcs, goblins and dwarves , thought I expect players to be human.
Slavic mythology does contain halflings and elves (greatly changed) if you want them, but I think you can do just fine without them.
I would also not include large overpowering empires, not even in a state of decay. This is simply overdone, and one of the more popular vices of world designers. Look, if you have a place totaly covered by forest and no good roads, travel is slow a you can effectively control only small area. So there was lots of waring fractions and small lords. O fcourse things change if you include sea - Roman empire was almost entirely based on sea transport. Lots of marauders is very important for this setting. Without wars and marauders and rural setting, feudalism cannot work. I say "marauders", not "invaders" which makes a lot of difference. Many of the nomadic nations literally subsisted on plunder. They would go into a place, kill everybody, take everything and move on to next plunder. And these people were not exactly primitive, they were surounded by splendour and gold, but were incredibly barbaric.
As for climate, these regions are inland, with continental weather, which means harsh winter, but also hot summers. It is not as if this was cold regions all the time.
If you include Slavic gods, don't forget Morana. She is cool. After all it is a Slavic goddess of winter and death. Reminds me of Elder gods. Merely to speak her name is asking for trouble.