Squirrel Hill has one of the best Exchanges, due to its proximity to CMU and the frequency of its locals and university students to trade in products whenever something new comes along. When I was in Pittsburgh I ended up getting Lufia for $10, SMRPG for $20, a copy of Suikoden 2 for $30 (pristine!), and so many peripherals and top-tier Dreamcast imports and Saturn imports that it made our dorm lounge a heaven on earth...as if it wasn't one beforehand. Of course, their stock has probably dwindled as of late since it depends entirely upon what people bring in but if you're a regular feel free to ask a friendly worker, if they aren't busy, if they happen to have any other systems that aren't on display. Sometimes what they have will shock you (ie: full Sega Saturn set-up, AV cables, and two 1st party quality controllers for $20).
Unfortunately, most of the other things available in Squill has pretty much dried up. CD Warehouse down on Murray used to be semi-decent but the location basically only had two customers in it at any given time. That and the selection wasn't necessarily decent. The one in Oakland fares a good deal better but the deals on games aren't comparable to ones you could get elsewhere in the city. They may have some hard-to-find oldies but, other than that, they're really a great deal better for their CDs and DVDs.
Downtown Pittsburgh doesn't have too much in terms of gaming but it depends. I was wandering down there during one of my days off and I found that The Exchange over there, while small, sometimes has some insane prices and items since, of course, gamers aren't really in that area. I ended up grabbing a nice number of SNES, Genesis, and PS2 quality titles for $1 apiece one time, so your mileage may vary. There was also a small independent game store down there as well, somewhere on the ground floor of an office building nearby what used to be Macy's. I wish I could be more specific but I believe it was within two minutes walking distance of The Exchange, let alone the bus station and the major Wendy's along a corner. I don't think they are still there but, hey, independent game seller with used and new titles stemming from NES to current gen? I have to give the guy credit. Decent prices, too.
Everything over by Robinson Town Center was quality during my day, but that was when EB was still seperate from GS and they were both still selling classic titles. And when the clearing of those titles happened...oh boy, did I make out.
Essentially...you may have missed some of the greatest years of classic gaming/insane deals that Pittsburgh had to offer. There are plenty of quality stores still around but most of the independents in the area know their prices. You won't get any deals there but you will find the obscure. I think the sole independent video game place across from Kentaco Hut (ie: the nasty KFC/Taco Bell/Pizza Hut hybrid by Pitt) dried up a while ago. All I remember that one for was their good selection, their outrageous prices (as to be expected when you have some of the rares they had), and my helping out a kid make a decision to buy Final Fantasy Tactics and finding out he's was the son of one of the CEO's of AT&T. Got a free magazine out of that sale, too.
Let's see...Dave's Music Mine went out in Oakland and they never really had any games. It was still a shame since they did have some excellent used music and movies, though. Suncoast went out in Oakland many years ago but they were never really big on games or, well, sales.
Sorry I can't really be of any more help. Most of the places that are still around are pretty much the local chains you already mentioned, some independents that may or may not still exist, or pretty much the EBs and GSs. You ~could~ potentially hit up EB and GS locations that are not around any sort of mall area in case you want to find more obscure games, but that won't be anything special for the most part. I think there was a GameStop close to the Fox Chapel area or so that was pretty good due to lack of customers.
[Edit:] By the way, after many, many years of hearing people say that there's nothing to do in Pittsburgh I'm pretty sick of it. It's mostly a CMU thing, I've seen, perhaps even a Pitt thing but out of the surrounding dozen or so "quality" neighborhoods right outside of the city itself and the multitude of things to do out there it just smacks a little bit of not looking around. The city itself, that's a different story. It isn't NY, it isn't Chicago, it certainly isn't LA. Downtown Pittsburgh, like a lot of other US cities outside some of the MAJOR major ones, is all about business with a side-emphasis on the arts and restaurants. Otherwise, it's dead. That's the way it is. Once 5 PM hits or the weekend hits the majority of the city is dead unless there are plays or concerts going on. While that certainly sucks for college students and the like if you can't find anything to do on CMU's or Pitt's campuses or find anything worth doing at the Waterfront, Squirrel Hill, Shadyside, Southside, or in about another nine or ten neighborhoods not counting the major mall/shopping areas and areas outside of a 20 minute drive...well, you're missing out on a lot.
By the way, and this is just for safety issues, if a neighborhood has a curfew for any reason whatsoever, follow it even if it doesn't apply to you. There is no reason to be walking around Homestead at 10 PM, be you a teen or otherwise. And while The Hill district used to be the place to go in the 40's and 50's...it's far from that nowadays. There's plenty of things to find out in Pittsburgh that only a few people know about but, well, you really have to look. It includes restaurants, clubs, specialty stores, the "holy shit, that sort of thing exists?" locations, all that rot. The sad thing is that, outside of locals and the adventurous spirits, nobody else is going to be able to help you, especially other college students. Sometimes you're lucky if 1 out of every 3 or 4 CMU students can tell you where the hell North Craig Street is.
