Why locals love it
If you tell Pittsburgh local that you have lived in or visited Pittsburgh, they will ask you: "Have you tried Primanti Bros?". A restaurant that started back in the 30's to sell sandwiches to hungry truckers expanded over the years to a dozen and a half branches. The restaurant boast particularly about their french fries loaded sandwiches.
Why you should visit it
I chose this location in particular because it is located in market square in the middle of downtown and it has an outdoor seating. If you had a long walk in downtown and you are on a budget, you may want to try one of there sandwiches.