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I live here and regularly squire around my four year old sons. Here are some places we love:

Pittsburgh Children’s Museum, North Shore (near downtown)—kids of all ages can do art, build, play with cars, launch mini parachutes, play on Mr. Rogers’ Neighborhood set, and a ton of other fun stuff.
http://www.pittsburghkids.org

Carnegie Science Center, North Shore (near downtown)—the fourth floor is especially designed for younger, toddler-age kids (take a change of clothes—they have a huge water table). They also have a brand-new SportsWorks building, which we haven’t checked out yet.
http://www.carnegiesciencecenter.org/

Carnegie Museum of Natural History (in the East End/Oakland neighborhood)—dinosaurs! They also have an area where kids put on goggles and use a small chisel and brush to “dig” for dino bones, and a “Discovery Room” with lots of things for kids to do.
http://www.carnegiemnh.org/

Pittsburgh Toy Lending Library (East End, Shadyside neighborhood)
For a laid-back morning (or Thursday all day), there’s the Pittsburgh Toy Lending Library. It’s a big indoor play area with every kind of toy imaginable; my boys love it. I think the first visit is free. It’s an all-volunteer organization, so call to confirm they’re open before you go.
http://www.pghtoys.com/

If the weather is at least doable, there’s the Pittsburgh Zoo and PPG Aquarium (East End). We really enjoy going in winter, since it’s not crowded and the animals tend to be active. There are also lots of indoor areas if you get cold.
http://www.pittsburghzoo.com/

Hope that helps! Feel free to FReepmail me with any questions.