As Kate mentions in her post (I seem to be a step behind her with the 'burgh's best bites) Pittsburgh is filled with Polish, Slavic or Ukrainian communities, and the churches within those communities are the best places to find fresh pierogie.
I've seen them served deep fried with tomato sauce (similar to 'toasted ravioli') and I have a fraternity brother who would boil or steam them and then eat (pretty bland that way if you ask me). I prefer to poil and then sautee them with butter and onions until they are just slightly golden. A little hot sauce is good too.
I'm going to compile the Ultimate Pittsburgh Steelers Tailgate Menu and post it tonight...so stay tuned for more 'burgh bites.