The subfig package is known to have problems with hyperref. You could give my subcaption package a try instead:
\documentclass[a4paper]{book}
\usepackage[utf8]{inputenc}
\usepackage[russian]{babel}
\usepackage[T2A]{fontenc}
\usepackage[demo]{graphicx}
\usepackage[config,font=small,labelsep=period]{caption}
\usepackage{subcaption}
\usepackage[unicode]{hyperref}
%use russian alphabet for subfigure counter
\makeatletter
\def\thesubfigure{\textit{\asbuk{subfigure}}}
\providecommand\thefigsubsep{,~}
\def\p@subfigure{\@nameuse{thefigure}\thefigsubsep}
\makeatother
\begin{document}
\chapter{Sample Chapter}
\appendix
%use russian alphabet for appendix counter
\makeatletter
\gdef\thechapter{\@Asbuk\c@chapter}
\makeatother
\chapter{Sample Appendix}
Reference \ref{fig_images}, also \ref{fig_image1} and \ref{fig_image2}.
\begin{figure}
\centering
\subcaptionbox{\label{fig_image1}}{\includegraphics[width=0.15\linewidth]{image1}}
\hspace{0.15\linewidth}
\subcaptionbox{\label{fig_image2}}{\includegraphics[width=0.15\linewidth]{image2}}
\caption[]{\label{fig_images}
Images:
\subref{fig_image1}~---~first;
\subref{fig_image2}~---~second;
}
\end{figure}
\end{document}
(I'm sorry for the shameless self-advertisement, but the problems of subfig with hyperref were one of the many reasons why I wrote the subcaption package.)
Addendum:
As opposite to the subfig package the subcaption package will only typeout the value of \thesubfigure resp. \thesubtable as reference since this is the behaviour of all other references as well, e.g. references to figures or sections. So if one want to have the parenthesis (or other decorative elements) in references, one have to add them there and remove them from the label format (so they will not appear twice there), e.g. by using the option labelformat=simple. For example:
\documentclass[a4paper]{book}
\usepackage[utf8]{inputenc}
\usepackage[russian]{babel}
\usepackage[T2A]{fontenc}
\usepackage[demo]{graphicx}
\usepackage[config,font=small,labelsep=period]{caption}
\usepackage[labelformat=simple]{subcaption}
\usepackage[unicode]{hyperref}
%use russian alphabet for subfigure counter
\makeatletter
\def\thesubfigure{(\textit{\asbuk{subfigure}})}
\providecommand\thefigsubsep{,~}
\def\p@subfigure{\@nameuse{thefigure}\thefigsubsep}
\makeatother
\begin{document}
\chapter{Sample Chapter}
\appendix
%use russian alphabet for appendix counter
\makeatletter
\gdef\thechapter{\@Asbuk\c@chapter}
\makeatother
\chapter{Sample Appendix}
Reference \ref{fig_images}, also \ref{fig_image1} and \ref{fig_image2}.
\begin{figure}
\centering
\subcaptionbox{\label{fig_image1}}{\includegraphics[width=0.15\linewidth]{image1}}
\hspace{0.15\linewidth}
\subcaptionbox{\label{fig_image2}}{\includegraphics[width=0.15\linewidth]{image2}}
\caption[]{\label{fig_images}
Images:
\subref{fig_image1}~---~first;
\subref{fig_image2}~---~second;
}
\end{figure}
\end{document}
2nd Addendum (updated on 2011/08/19):
The subcaption package does support different look & feel for references and sub-references since version 1.1 from 2011/08/18, using the new option "subrefformat=". For example:
\documentclass[a4paper]{book}
\usepackage[utf8]{inputenc}
\usepackage[russian]{babel}
\usepackage[T2A]{fontenc}
\usepackage[demo]{graphicx}
\usepackage[config,font=small,labelsep=period]{caption}
\usepackage[subrefformat=parens]{subcaption}
\usepackage[unicode]{hyperref}
%use russian alphabet for subfigure counter
\makeatletter
\def\thesubfigure{\textit{\asbuk{subfigure}}}
\providecommand\thefigsubsep{,~}
\def\p@subfigure{\@nameuse{thefigure}\thefigsubsep}
\makeatother
\begin{document}
\chapter{Sample Chapter}
\appendix
%use russian alphabet for appendix counter
\makeatletter
\gdef\thechapter{\@Asbuk\c@chapter}
\makeatother
\chapter{Sample Appendix}
Reference \ref{fig_images}, also \ref{fig_image1} and \ref{fig_image2}.
\begin{figure}
\centering
\subcaptionbox{\label{fig_image1}}{\includegraphics[width=0.15\linewidth]{image1}}
\hspace{0.15\linewidth}
\subcaptionbox{\label{fig_image2}}{\includegraphics[width=0.15\linewidth]{image2}}
\caption[]{\label{fig_images}
Images:
\subref{fig_image1}~---~first;
\subref*{fig_image2}~---~second;
}
\end{figure}
\end{document}