The first one is quite an interesting one; Helena Petrovna Blavatsky.
I mentioned how references to red hair pop up in some of her works in an earlier post (see; red-hair-in-works-of-helena-petrovna). Now it seems that she herself may have had red hair.
The following webpage contains a quote from Henry Steel Olcott (co-founder of the Theosophical Society) that describes Blavatsky's appearance.
"From the very beginning my vision was deceived by the red garibaldiс chlamys, which H. P. B. was wearing instead of a shirt. She presented a sharp contrast to the darkness of everything, which surrounded her… Her hair was red, soft, like a silk, and wavy, like Cotswold lambs’ wool."http://sirius-eng.net/liki/blavatskaia.htm
A book titled The Archetypal Feminine in the Mystery Stream of Humanity also describes her as being red-haired.
"..she travelled all over the world, a beautiful young girl with red hair, either alone or with her sister."Quite interesting.
Another Russian to add to the list is the novelist Andrei Bely. In the book The Grove Book of Operas the following is stated;
"Andrey Bely (known for, among other things, his brilliant red hair)."Another redhead is the Soviet composer Sergei Prokofiev. Born in what is now eastern Ukraine he was said to have had "fiery-red hair".
(See the following article; http://www.interlude.hk/front/old-flames-burn-hottestsergei-prokofiev-eleonora-damskaya)
The Polish composer Ignacy Jan Paderewski was also a redhead, as can be seen from the following portrait;
The following passage gives quite a vivid description of him;
Why was he so popular? One reason was his magnificent physical appearance. His long, red hair inspired admiration and awe. The term "long haired music" may have originated with him.
Many musicians tried to emulate him, wearing the familiar top hat, long coat and long hair. Candies, toys and soaps were designed with him in mind. One Christmas toy was that of a little man with a black frock coat, white bow tie and a huge head of flame-colored hair sitting at a piano. At the turn of a screw the little man's hands rushed up and down the keyboard while his head shook violently.http://pmc.usc.edu/composer/paderewski.html
Another who could maybe be added to the list is Anton Chekhov. An online article (for which the link is now broken) described his hair as "red-brown". Though it may be a little bit of a stretch to claim him as a redhead based on such a vague description.