depends on the effect you want, i guess..
though i'd suggest eating a lot while drinking. it may take longer to get drunk, and more vodka, but it will definately lower the chances of nausea and hangover. also, drink water, or juices, etc.
freeze vodka in the freezer (goes down so smooth and feels nice in your throat)
the best "zakuskas" (in russian, zakuska means something that you eat right after you drink the shot) are dill pickles, cold cuts, young onion grass, red caviar, marinated mushrooms or tomatoes..
also, some people really like to sniff the "zakuskas" before eating them. i like to do it sometimes, if vodka is unusually bad, or warm.
that's all from the top of my head