Pittsburgh's famous Strip District includes the Pennsylvania Macaroni Company an Italian grocery that must offer a couple of hundred varieties of cheese, from all over the world, and very reasonable prices. Allegheny Mountain Smoked Horseradish, a local product, is a favorite with my family. But just about anything they sell is going to be good. Warning, this time of year the counter will be crowded.
If you find an Amish farmstand, chances are their cheese will be pretty good too.