This place is AMAZING!!! I literally stopped buying bread at giant eagle because it was sheer crap compared to Allegro. Bread is baked fresh DAILY and they have all sorts to choose from.
The french bread is always good...if you're looking for something for sandwiches, I'm always for the ciabatta (or ciabatinis), sourdough, or traditional rye (i think this is better than the russian rye). Italian is good too, and they can slice it thick for some monster sandwiches. Of course, their challah is DELICIOUS, and they make a ton of it around the Jewish holidays.
Be sure to grab a bread card and get it stamped! I think it was buy 8 loaves get one free...something like that. I filled up a fair share of bread cards while I was living in Squirrel Hill.
If you live around the area, walk past around 9 or 10 while they're baking...my girlfriend says it smells just like France.