You can only imagine the terror. The padded cell in the KGB museum in Vilnius carries few obvious scars of brutality, but it's truly disturbing: a testament to the horrors of Soviet control, when detainees were injected with truth serum, strapped into straitjackets and left to hallucinate - and no one could hear their cries.

It may be the most unnerving, but it's only one of the many Cold War sites in Lithuania. This year is the 20th anniversary of the fall of Eastern European communism, and the Baltic landscape is still littered with buildings, bunkers and monuments from behind the Iron Curtain.

There are, of course, more iconic communist landmarks. Moscow has Red Square, Lenin's Mausoleum and the Kremlin. But they come at an oligarch's price. A three-night stay in a central four-star hotel with flights and a Soviet tour costs about £900; more than double the price of a comparable visit to Vilnius.

And that's just the start. A meal in a fashionable Moscow restaurant with wine could cost you between £70 and £100 a head. I was charged £20 for an average glass of red in an hotel bar.

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The Cold War legacy of Lithuania will have less impact on your wallet than on your mind. It's a compelling insight into how the tentacles of control snaked across the Soviet empire. The KGB building in Vilnius played a central role, where the ideologically unsound were interrogated and then deported or executed.

Officially 1,037 people were murdered on-site, but it's thought that up to 4,000 lives were terminated in the small room that the KGB claimed to be a kitchen. Yet it's the less gory exhibits that are the most haunting: staircase panels to prevent suicides, the solitary confinement cell's tiny switch, flicked by broken prisoners ready to confess.

“It's not pleasant but it's necessary. Future generations must understand,” said the chief guide, Ricardas Padvaiskas, pointing to a fading photograph of himself as a toddler, next to a Roman Catholic priest. “He died in a KGB ‘accident' in 1981.”

For a more artistic take on totalitarian control I headed 90 minutes south of Vilnius to Grutas Park. This mock Siberian labour camp, dubbed Stalin World, holds more than 80 Soviet-era statues, torn down when Lithuania claimed independence in 1990.

There are a couple of statues of Stalin, but it's Lenin who has the communist X-factor. Some of his many statues have six-packs; others reveal specially lengthened legs so he that towers over his comrades. It's called Soviet Realism.

But hell, this is a holiday weekend. There was some fun behind the Iron Curtain. The Neringa Hotel's revue night has been going for years, as has much of its audience and singer, Birute Dambrauskaite. She may look like Liza Minnelli after a heavy night, but she can belt out Lithuanian classics.

Neringa's food matches its music. The restaurant's retro Soviet decor, all heroic frescoes and mosaic floors, came with pre-independence staples, including boiled vegetable salad with mayonnaise and white bread triangles, followed by pork steak “with bone” and choice of one dessert.

At £50 for three, including booze, it was more serf than tsar. It wasn't the only red-tinted dining. At the Cold War-era telecommunications tower, a lift attendant with an authentic communist scowl took me up to the revolving restaurant. With blue and orange banquettes and astrology-themed food including Salad Nebula and Roast Aquarius Tuna, it blended Khrushchev with a dash of Austin Powers.

But Vilnius also has excellent-value contemporary dining. Despite its Old Town location, Bistro 18 has earth-toned walls with Rothko prints, a mellow vibe and modern European fusion food. My superb fillet steak came in for under £12. It wasn't the only evidence of change.

At Vilnius Vartai, a sparkling new chrome-and-glass shopping arcade, Alexander McQueen rubbed designer shoulders with YSL and Givenchy. But it was empty. Eerily empty.

Boutiques in search of an oligarch's wife. Its recent sales, offering a 75 per cent discount, suggest that a correctly timed visit would allow you to gild your Cold War thing with capitalist bling. The KGB would not approve.

Need to Know

Baltic Holidays (0845 0705711, www.balticholidays.com) offers three-night packages to Vilnius from £395pp, including return flights from Gatwick, transfers to the Mabre Hotel, and Soviet tour taking in the KGB Museum, Grutas Park or a missile bunker, Television Tower and Neringa revue show (including guide).

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