I love Mr Smalls. It is quite a trek for me to get there and driving through Pittsburgh is one of the biggest pains, but once you get there, it is awesome.
There is no parking so make sure to get there early enough to find street parking. Also, the area is lacking in food. Everything there either closed early (like 3pm!) or is a more of a sit-down restaurant. The only place to get a quick bite to eat is Subway. So if you want to eat something else as you wait in line, you should stop somewhere before you get to Millvale.
As for the venue itself, it is quite cozy. I've been there in the winter and summer and find that they seem to keep it at a reasonable temperature. They also have a coat check ($1) which is quite useful! and a bar in the back.
Overall, I think Mr. Smalls is one of the best places in the area to see some bigger names at a more intimate venue. Great prices, great bands, great place. Happy 10th birthday Mr. Smalls!