I took the train from Beijing to Moscow, so I did it in reverse. It was a fabulous experience, and I would do it again in a heartbeat. My trip was during the summer, and I definitely recommend that as opposed to the winter. Siberia and Mongolia are beautiful during that time of year, and you will be much more free to explore with the better climate.
While it is possible to take the train straight from Moscow to Beijing, it is much more rewarding to make a few stops. Visit Saint Petersburg for a few days, Irkutsk (swim in Lake Baikal), and maybe spend a week in Mongolia. The scenery is absolutely amazing.
I enjoyed the train ride in itself, as well. Just be sure to bring plenty of reading material and a deck of cards (a great way to make friends with your bunkmates).
It can be difficult to arrange visas without the backing of an organization. I used Monkey Business, and was relatively happy with it. I would have preferred to book tickets on my own, but the Russian government makes that difficult/impossible. Don't let that dissuade you, though. The trip is worth those minor inconveniences!
Best of luck!
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