You might want to spend some time browsing the exhibits at Gulag History Museum, Nemirovich-Danchenko's Apartment Museum, or Moscow Museum of Modern Art. VTB Arena, Morozov Mansion, and Lenkom Theatre are monuments to see when you're exploring the area around Megasport Arena. You can watch performances at Praktika Theater, State Theatre of Actor, and Central Academic Theatre of the Russian Army if you're interested in local theater.