This is a Pittsburgh institution, and if you're coming in from out of town, you probably should check it out. It's got an excellent selection at the cheese counter (though the cheese counter is crowded, so if you want a lot of personalized assistance, you should go during a less-busy time, like a weekday afternoon), and a pretty wide selection of dried pastas. The bulk olive oil is decent quality and an excellent value. And the fresh pasta does look nice.
However, Penn Mac is just too crowded to do regular grocery shopping there. I do most of my weekly shopping in the Strip, and I can get in and out of the other Italian or Greek wholesalers in the time it takes me just to get past the front room of Penn Mac. Unless I need a specific cheese that I know I'll have a hard time finding elsewhere, I generally skip Penn Mac and go to Sunseri's or Stamoolis Bros, which are much less crowded and offer a similar range of foods.