Baku

Baku is the capital of Azerbaijan and a center of the world's oil industry. It has a port to the Caspian Sea.

South and West towards Ganja and Iran
Ask for a bus going close to Baki Avtomobil Bazari or Kempinsky Hotel. From there walk north along the road (although signs for Astara will point you other way, but do not mind - they are stupid to navigate the traffic in a strange way) for a kilometer until you hit a big crossing. You can hitchhike on a junction to M3 where there is plenty of space to stop. If you are hitchhiking to Ganja it is better to use this M3 and then M2 instead of M4. If I am not mistaken, bus number 3 or 33 was going near Kempinsky from the center. Ask around to make sure!

West towards Shamakhi and Georgia
From 20 Yanvar metro station there is a local bus going onto the M4 motorway. Forgot the number, but try to ask 'Atyali' (suburb on the road).

To Turkmenistan
There is an irregular ferry to Turkmenistan crossing the Caspian Sea. There is no schedule for this ferry and it is not sure if it can be hitchhiked, but it is supposed to depart Baku much more often than the Aktau ferry, perhaps every 3-4 days.

To Kazakhstan
There is an irregular cargo ship which accepts passengers to Kazakhstan crossing the Caspian Sea. There is no real schedule for this ship, but it usually leaves Baku every 1-8 days. In September 2011, the standard price for the ticket to Aktau was 120 USD, but with little effort you could easily bargain the price down to 100 USD, or even 80 USD.

Hitchhiker Dargeron travelled in this ferry for free on the same date, so it is actually possible to hitchhike the trip. Still, it is not advisable unless you really haven't enough money to buy a ticket, because getting into the ship without one is an extremely difficult endeavor and, in case you are finally refused the entry, you will probably have to wait 10 days or more until the next ferry comes.

If you are determined to attempt to hitchhike the ship, there's also some advice that might help you to succeed. First of all, you should be aware that you will be asked for a ticket at three different places: the entrance of the port (by policeman), the entrance of the customs office (where you'll get the Azerbaijan passport stamps) and inside the ferry. Bribing could probably get you through the two first controls, but it is much easier to just befriend the policemen of the port in order to do so. After that, you will finally arrive at the ferry, which ought to be the hardest part of your adventure. If you declare that you have no ticket outright, you will be immediately kicked off the ship, so your best option is to stall with some excuse in order to attempt to speak directly with the captain, who's the only one who might take you aboard without a ticket. Once you've managed to stay on board after departure, the rest of the trip should be easy, because it is unlikely that you would encounter any serious problems at the Kazakhstan border. Enjoy your ride!