The icy Volga is stalked by dog-like Watchers, giant carnivorous shrimp, and all manner of ghouls, whereas the sandy Caspian Sea features enormous bats called gargoyles, packs of oversized mole rats, and some of the scariest spiders to ever scurry in the dark. As you'd expect from a tundra and a desert, they play very differently.
That said, for me the Caspian Sea and the Volga were the high points of the game.