If you are into vinyl, local music, or just enjoy authentic conversations about music you've your Mecca. Jerry's has got to have the largest retail space store of vinyl records in the world. Check out the pics of you don't believe me.
Incredible selection of vinyl with the only known major missing music (because it moves so fast when it comes in) as indie rock and progressive rock. Good luck finding that RUsh bootleg or Arcade Fire 'love at wherever. However, many diamonds in the rough here for all types of music and that classified in a clever, I think sometimes humorous manner. The hunt is half the charm, go nuts!
They also have probably the largest volume of jazz music I'm going to say in the world because why not, again look a the pics. It's enormous. There is a large selection of Pittsburgh local jazz artist recordings here as well ! Have fun !