Just as DC has The Black Cat and Atlanta has Lenny's (RIP), Pittsburgh has the Rex. I came here for the first time to see Swans just the other day- good times, loud times! It's a little bit scuzzy but hey, sometimes it's better that way. The box office closes up after the show gets going so if you're a late-comer, better have your tickets on hand. The place wasn't air conditioned from what I could tell (or feel) and there was a giant industrial sized fan near the theater doors. I'd be up for checking out another show here when I'm in town.
Bonus: they sell Rex koozies at the bar!