Also worthwhile in Pittsburgh are the Carnegie Museums. I have it on good word1 that it is four separate museums (Carnegie Museum of Art, Carnegie Museum of Natural History, Carnegie Science Center, and The Andy Warhol Museum), though frequently "The Carnegie Museum" refers to the the Carnegie Museum of Art and Carnegie Museum of Natural History. These two museums are located in a single building, covered by a single admission, and include a research library. The boundaries between the two museums are not well defined - one can walk from one room that is part of the art museum into another that is part of the natural history museum and not notice the difference without looking at the contents of the room. The Carnegie Museum is located between the University of Pittsburgh and CMU.
A really good museum.2
1. http://www.carnegiemuseums.org/carnegie/index.htm
2. (The art part of it.)