You might want to spend some time browsing the exhibits at Gulag History Museum, Central Armed Forces Museum, or Gorky House Museum. Stanislavski and Nemirovich-Danchenko Moscow Academic Music Theatre, Arbat Street, and Pushkin House Museum on Arbat are monuments to see when you're exploring the area around Megasport Arena. You can watch performances at Gypsy Theatre, Aparte Moscow Drama Theater, and Anton Chehov's Theater if you're interested in local theater.