I have been to Gaucho several times, and it's definitely one of my favorite restaurants in Pittsburgh! I would recommend it to anyone visiting the area for the first time.
I love getting the steak sandwiches, but honestly anything is good here. As a side I would recommend the potatoes. One of the best parts of the Gaucho experience is the self-serve sauces they have. When I go with friends we usually have a good time talking about which is our favorite (I maintain that the ajo/garlic one is the best!). Sometimes when I'm extra hungry I even get some toast to eat with the sauce, but a sandwich or any other entree is usually more than enough. Prepare by going with an empty stomach!
Just one note of caution: lines can get very long. I have waited in a line for around 2 hours to get in on a Friday or Saturday night. If you want to get in quick I would recommend going for lunch on a weekday, but there still might be a bit of a line. It does go pretty quick though! On a similar note, they don't take reservations and their system is that they seat you after you order at the counter.