Dunhams in monroeville (next to the mall) and North Versailles. Two good shops in Delmont, Woodlands Edge, across 22 from Walmart, and Delmont sport shop on 66, 1/2 mile north of 22.
Reloaders Outlet in Penn Hills. He has a nice 1903a3 sporter, 2 Jap type 38, one original, one sporter. He doesnt have loads of guns, but a reloading store is cool. I get some cheap bulk and surplus bullets there.
Highland sports in Murrysville, also on 22, has alot of top shelf guns. Its the only place I've ever seen a Blaser 93. He had some fine custom sporters. Not much milsurp, but good to look at. He might be closing, and was trying to sell me anything in the store at cost. He had a breakin, they cleaned out his handguns, which I think pushed him to close.
Braverman Arms, Penn avenue in Wilkinsburg, has lots to see, but the neighborhood isn't very nice.
2 Pawn shops on the north side, a block apart. Lots of guns and guitars.
I don't know any in Elizabeth or the South Hills, But I'm sure there are loads of them.
If you want to take a long ride, there is Grice in clearfield, or Cabelas in west Virginia, But you'll pass Cabeles in Hamburg on your way west.
Thats all I can think of for now, but gun shops are like Pizza joints around here.