There are many possible reasons why some people in Russia still somehow think life, or certain aspects of life, was better under Stalin. For many of the older generation that still remembers The Great Patriotic War against the Germans, Stalin is sometimes thought of as the father figure who led them through a difficult and trying time. They remember a time of victory and national unity and it is in contrast with the different system and country they have today. Some are nostalgic for the days of empire when they were one of the superpowers on Earth. It is also quite likely they are romanticizing what their own lives were like in those days.
There are younger Russians who also revere Stalin. It could be because Russian society has always had an admiration and respect for strong leaders who imposed order, or perhaps they were raised by the formerly privileged classes of the Communist Party and were raised to believe the chaos and uncertainty of capitalist Russia were worse than Stalin's purges.