Yep, I recommend MAC too. Its in Wexford, but right off of i79 so its very easily accessible. The sessions are $10 each as Frodo said, and in addition to the classes he lists they also do a wrestling class. (I actually live about 1 minute away from MAC, so its obviously my first recommendation)
Steel City Martial Arts is a Pedro Sauer affiliate so they have a great lineage, but its kinda far away if you do live in the north hills, as I do too.
PA Karate Academy is also south of the city, they don't have jiu-jitsu but do teach combat submission wrestling, in addition to muay thai and some other arts.
www.pakarate.com
And theres a also a grappling club at Carnegie Mellon University, downtown-
http://www.andrew.cmu.edu/user/rcjones/faq.html
PFC is a mma team here in Pittsburgh, which is something eles you might be interested in-
http://www.practicalfightingconcepts.com/
South Hills Judo Club, actually now offers mma, as well but again its kinda far from the north hills-
www.shjudo.com
Hey with all these mma fans in Pittsburgh we should all get together and watch a UFC sometime, I can't believe how many of us there are.