I am a fan of Primanti Bros. sandwiches. A must go if its your first time in the city as it is a Pittsburgh staple.
My favorite is the Pittsburgher with cheese and a fried egg. Second favorite is the Capicola with cheese and a fried egg. In my opinion you should always get a fried egg on your Primanti sandwich.
Also a little insider info... If your are wondering what their number 1 seller is... It's beer (more specifically Iron City, or Arhn City if your are a Yinzer)