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In Season 3 of the Sopranos. Paulie and Chris let a Russian associate escape in the woods in the episode "Pine Barrens".

Was there ever any reference to the character or what happened to him in any later episodes? I can't remember there being any.

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Whether the Russian escaped or not, I was hoping for resolution for what happened to Paulie's car. The end-of-road where Tony parks is similar to where the Caddy was parked, but is not the same location. Compare screen grabs and you'll see the picnic tables in different positions, the chain posts farther apart with one knocked knocked askew, the "no admittance" sign has different smudges, and there are different trees. This strikes as havin been done deliberately to set up future stories that didn't get produced. Imagine the possibilities: someone finds the car with its blood stains and duct t –  user19451 Mar 6 at 9:21

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No, he was never referred to again. I assumed that he got away and kept his head down from there on out.

In an interview with Terrence Winter and David Chase it was revealed that they kept it intentionally vague (emphasis added):

Perhaps the biggest legacy of ''Pine Barrens'' is what you don't see, i.e., what becomes of the Russian. It has become one of the most tantalizing mysteries in The Sopranos history.

WINTER: That's the question I get asked more than any other. It drives people crazy: ''Where's the Russian? What happened to the Russian?'' We could say, ''Well, he got out and there's a big mob war with the Russians,'' or ''He crawled off and died.'' But we wanted to keep it ambiguous. You know, not everything gets answered in life.

CHASE: They shot a guy. Who knows where he went? Who cares about some Russian? This is what Hollywood has done to America. Do you have to have closure on every little thing? Isn't there any mystery in the world? It's a murky world out there. It's a murky life these guys lead. And by the way, I do know where the Russian is. But I'll never say because so many people got so pissy about it.

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He wasn't a mere Russian associate, he was a trained commando. So we have to assume he had experience with rough climate conditions, and the training to evade in rough terrain. I interpreted Paulie's (or Chris') missing car to indicate he had circled back in the night and stole it to escape. He couldn't kill either of them for danger to start a retaliation. –  wbogacz Oct 16 '12 at 14:40

From the 12/5/2012 Slate article David Chase Doesn’t Care About the Russian:

“Who gives a shit about this Russian?” David Chase says. The creator of The Sopranos has never understood his audience’s fascination with Valery, the Russian mobster who disappeared in the legendary “Pine Barrens” episode. It was a one-off story that needed no closure, Chase says now. He recalls thinking, “We did that show! I don’t know where he is! Now we’ve got to go and figure that out?!?!”

Terence Winter, who wrote “Pine Barrens” and many of the series’ other memorable outings, agreed with the fans on this one, much to Chase’s frustration, and kept pushing his boss to add a coda to that story in The Sopranos’ final season. They finally hit on an idea everyone would be happy with: Tony and Christopher pay a visit to the local Russian mob boss, where they find Valery sweeping the floor, not recognizing Christopher thanks to a traumatic brain injury suffered when Chris and Paulie were shooting at him. (It would be explained that a local Boy Scout troop found him with part of his skull missing, and saved his life.) At the last minute, Chase changed his mind, and he recalls a despondent Winter insisting, “God, you’re making a huge mistake leaving that on the table!”

It's non-canonical, sure, but we'll take what we can get.

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