do not
Do NOT go to Lagan expecting to see the Caspian sea. The canal connecting the city to the sea is patrolled by Russian border guards 24 hours a day. You can walk along the canal for 10km, but with 7km to go before the Caspian, you will not be allowed to continue.
If you arrange for an outing on the sea with local residents and the border guards ahead of time, they may allow you to accompany a fishing boat.