Hey there,
My wife is from Philly, I'm from Pittsburgh, my dad has a place in Harrisburg (and I drove through Erie on my way to Niagra Falls a couple times).
There are definately more opportunities in the medical field in Pittsburgh and Philly.
Philly is quite a bit bigger than Pittsburgh, a bit more urbanized (and boarders New Jersey). The downtown is actually quite nice (even without the "Rocky" statue) and the city has lots of character. The suburbs are nice, but can be expensive.
Harrisburg is a smaller city and is surrounded by mostly rural areas. There is good (for PA) highway access to Philly & Baltimore for day trips. Harrisburg is home of the largest sportman's show in the state and probably the largest gun shows in the state as well.
If you like snow, Erie is a good place for you. The closest big cities are Cleveland, OH, and Buffalo, NY. (Niagra falls is a short trip from Erie). Lake Erie is right there (if you fish). Everything south of Erie is rural. One of the big industries there is wine making.
Pittsburgh - less snow than Erie, further from New Jersey than Philly. I don't know anything about the Gunsmith School (except that there is one). Lots of medical opportunities. Home of the Steelers!
As far as guns go, there are good gun shops all over the state. Carry permits are as easy to get as filling out the application (the wait is longer in Philly and Pittsburgh). Lots of gun shows (never enough for me) and lots of places to shoot, but you may have to drive a little further if you're in the cities. (I currently live just outside of Pittsburgh and have at least 5 ranges within 30 minutes of my house). The state maintains quite a few public ranges that are run by the game commission and have some restrictions, but are free to use. There are lots of gun clubs of varying cost and limitations on range use - you'll be able to find one that allows (and encourages) whatever you're into.
H