I lived in Pennsylvania for four years and I'm surprised Night of the Living Dead wasn't that state's favorite movie since it was set and filmed outside of Pittsburgh. The sequel, Dawn of the Dead, was also set primarily in Pittsburgh at a mall not far from where I lived. Ironically, after moving back to Wisconsin, the remake of Dawn of the Dead was set in Milwaukee (although filmed in Toronto to cash in on the cheapness that city offered to film makers plus a recently abandoned mall that was converted into a "working" mall). I've never seen Shaun of the Dead.
Gerard