For Pittsburgh, I would say a good one would be
Sudden Death, which centered around hockey. It showed a lot of views of the city... and the arena, soon to be replaced, has not changed one bit.
More recently
Smart People really I think captured the feel of the many neighborhoods of the area. It was filmed in the Shadyside and Bloomfield areas of town.
Another one that is interesting is Inspector Gadget, which was filmed here, but in the story it took place "Riverton". The antagonist's hideout/headquarters was PPG place, seen below.
Really a ton of movies are filmed here. In fact down the street from my office they were filming a scene from the movie
Love, and other Drugs yesterday.