Depending on your area around the city, there's tons to do.
North will get you cranberry area. Dicks, Field and Stream (if their past actions don't eliminate them for you), John Brown's Armory, Moraine St Park/Lake Arthur, and a bunch more.
East is Monroeville/Greensburg/Latrobe. Gander Mountain, Braverman Arms, Pitcairn-Monroeville Gun club, Steel City Guns is a home business that does $20 transfers, Anthony Arms is fun if you like to laugh and scoff at prices. Prepper's Paradise is out in Latrobe as well.
South is Washington/Greene Counties. More Gander Mountain, Cabelas (wheeling), Ace Sporting Goods (great shop imo), Ohiopyle in Fayette Co, etc.
West is the Airport area, Raccoon State Park (kayaking, canoe, electric motors only, camping, hiking, etc) and the mall at Robinson.
Welcome to the area.