What a fun place! Fortunately I knew it was IN the Antiques Marketplace because I read all the reviews last night. As soon as you walk into the Marketplace, you can smell the hot dogs cooking! Walk towards the left, pass by aisles of "antiques", and once you see all the Pittsburgh sports stuff and a few tables, you've found Pittsburgh Willies.
Rand and I had a seat while we were waiting for Lynn and Claire and met Randy the owner. Very friendly and a gracious host. Being from Chicago and growing up on Chicago style hot dogs, I was a little unsure about some of the weird combinations on the menu, so I played it safe and went with the 3 Legged Chili and Cheese - almost 1/2 lb of Big Willy sliced in 3 - over a split sesame bun and covered in chili with big pieces of beef and lots of cheese! Yum! The hot dog was good quality and the chili was better than I expected. Had a side of potato salad that was pretty good also. They have a refrigerator case for your drinks, cans of soda are only $1. They also had glass bottles of Coke and Pepsi.
On Wed they have homemade potato and cheese pierogis and Randy said to call ahead if you're not coming until the evening because they almost always run out before they close at 7pm.
Take a stroll through the Antiques Marketplace after lunch. They said it's the largest one in Arizona!