We were through there last September and spent two nights each in Tallinn, Riga and Vilnius. All three cities were very interesting, beautiful, not overwhelmed with tourists and very cheap by European standards. Tallinn was especially pretty with the old city wall and towers; a great place to walk and see the sights. We rode the ferry from Helsinki to Tallinn, the bus from there to Riga, the same from Riga to Vilnius then flew to Warsaw. The Eurolines buses were modern, clean and very comfortable with restrooms, free coffee and WiFi. And, you can ride the same bus line from St. Petersburg to Tallinn.
Since all three countries are EU members there were no border crossing stops at all. Each still has its own currency, so use the ATM get local money. You can use Euros but the exchange rate sucks and you still get your change in local currency.
All three countries are well worth a visit IMO.