Where can I buy online spices, sauces, extracts, etc. with international shipping? I already know Penzey's spices, which is good, but they don't sell sauces. Ebay won't work for me because it is too expensive to ship to Russia (judging from one bottle from one user). Amazon is also not an option as they will only ship books. 

In particular, I'm looking for worcestershire sauce, fish sauce, pure extracts, sesame oil.
I found this thread: http://www.expat.ru/forum/showthread.php?t=189321 which lists a russian website. That might be of use to you. I can't comment on what they have as I can't read the site. Most of the other sources I know of are based here in North America. In general I would usually start by checking for a site based in my country that offers reasonable shipping. Even being in Canada I find that often shipping across the US border is cost prohibitive.