Their deli sandwiches are great. Service is very friendly: the deli workers seem determined to convert you to the Cult of Cured Meat and won't take no for an answer; the lady who mans (womans?) the checkout counter always has a smile and a kind word; and the guy behind the butcher counter is gruff, hilarious, and disturbingly good with a knife. Prices are high, but hey, any area that has both an Eyetique *and* an Apple Store is going to be outrageously affluent (and so its shops are obviously going to be outrageously overpriced).
There's almost no parking to be had. Most of the cars on Walnut seem to belong to people with too much money and too little competence behind the wheel. So, if you value your life, come here on foot. Then again, if you valued your life you probably wouldn't be eating their incredibly delicious (and incredibly high-calorie) sandwiches in the first place ...
During our first year of marriage, my wife once wanted to make me pot roast for dinner, and so she came here to ask the butcher what cut of meat would be best. He was so touched by this that he gave her the best he had. Whenever I think of Shadyside Market & Deli, this is the first memory that comes up -- and it never fails to bring a smile to my face.