Max Payne 3: Complete

Give it to a Russian?

Move to Russia and activate it.

Seriously now, unless you dare using a VPN, there's nothing you can do with this key. And I wouldn't recommend to ANYBODY to use VPN and Steam, you may be banned from using your games library and account forever; it is not worth the risk.

Try dropping the key in some Russian forums or trading it in steamtrades.

You can try sell it on outpost (If it's a gift copy), but don't forget to put in a notes the info about region lock.

Sell it for Team Fortress keys --> Sell keys on the steam market --> Profit

Where did you get it? GameMiner? if yes then do a GA there.