The Cathedral of Pittsburgh. Nothing beats a trip to the stadium on a Steelers Sunday to get a feeling of how crazy this town is for football. The stadium itself is modern, with comfortable seating, reasonably good food and beer, and great views of the field and city.
Where you sit in the winter does make a HUGE difference in your enjoyment of the game. Try not to sit near the ends of the upper tier; the wind really whips through the gaps between the section behind the goal posts and either side. If you can afford it, when it's cold or raining, I would strongly recommend club seating. It will let you go inside between quarters or the half, and is one of the few places in the stadium with a full bar.