Pittsburgh can be cold, I guess, but no colder than most of the other Northeastern states. What's probably the worst thing about the weather is the wind ... when it whips through, it carries a lot of the moist, cold air right to your bones. But a scarf will help with that.
The social scene is funky ... there are a lot of student-friendly/twenty-something-friendly neighborhoods (like Southside, etc.), but the downtown itself virtually shuts down after 5 pm. There is a good cultural scene, though. The Pittsburgh Public Theatre will stage a lot of smaller traveling shows/original pieces while Heinz Hall and The Benedum will host a lot of the bigger Broadway shows coming through.
It's a pretty cool place, but what's the best is that almost everyone is hyper-proud to live there.