I'm a big fan of the public market. Everything is local, fresh, and you get to talk to the people that make everything. If you're a vegan or even if you're not I recommend stopping by the food stand for Vegan ABC. If you're a little scared they do offer free samples upon request. The buffalo chicken was perfectly spicy and the pulled pork sandwich left me in disbelief that there was no meat in there.
You'll also find ethnic foods, hot soups, delicious coffee, and locally brewed beer. I also bought a plant for my office here which seems to be doing quite well. This is a great place to visit and support the local Pittsburgh economy. I highly recommend it either for food, shopping, or just to check it out.