It is also called the Yinz Left, which sounds much better than the Pittsburgh Left. Yinz is a slang term often used loquaciously by Pittsburgh citizens (aka yinzers), and derisively by the rest of the country.
The yinz left is quite annoying, because most normal drivers assume that they can simply go through a green light when continuing straight. Instead, you have to be extremely wary when going through any conventional traffic light in Pittsburgh. Essentially, every stop light results in a miniduel / roulette using automobiles rather than broad swords. People literally get insulted when you don't yield for them, and if you do yield you will be lucky to get a hand wave of gratitude.
To summarize, the yinz left is a bad idea. I have been to many big cities (Boston, Providence, Hartford, etc...), and none of them adhere to this foolish rule. So when in Pittsburgh, be wary.
(According to jarsyl, this maneuver also occurs in Boston)