Ms. Agron, who plays Quinn on the Fox musical/comedy/drama, made multiple visits to the shop after stumbling upon it when she was in town filming the movie "I Am Number Four."
"I had to find a way to bring back the hundreds of records I bought there," she said, noting her choices ranged from jazz and blues to rock and classical music. "I have a couple of record players, and Jerry's has the best selection I've ever seen."
In "I Am Number Four," Ms. Agron doesn't escape from high school, but she plays a different kind of teenager from Quinn, a cheerleader who got pregnant in the first season of "Glee."
"She's very insightful and very artsy and excited to get out of her small town," Ms. Agron said during a Fox party in January. Eventually her character, Sarah, becomes fascinated with the new boy in school, who turns out to be an alien on the run played by Alex Pettyfer.
"He's unlike any boy she has ever known, so open and honest, and then she discovers that he's quite different in other ways. He's got some people after him and he can move things and defy gravity."
Ms. Agron did some defying gravity of her own while filming "I Am Number Four," including a stunt that required her to plummet five stories into a crash pad.
"They hook you up to these harnesses, and you're flying through the air, and in some ways you get to be a bird for a little while," she said, clearly eager to do more stunts. "I got such a bug for it. Hopefully there will be more of that somewhere in my future."
During her time in Pittsburgh, Ms. Agron said she and other cast members stayed at the Renaissance Hotel with rooms overlooking PNC Park, but she didn't get to enjoy the view that often.
"I made sure to keep my blinds closed as tightly as possible because we were shooting at night and you have to sleep sometime," she said.
Filming could be a challenge, too, because of weather conditions. "One minute it was sunny and the next moment there was torrential rain. Producers would be on their iPhones looking at a weather app to see where the clouds were and saying, 'OK, it's going to hit us in five minutes, so take cover for five, and then it will be gone for 15, and then it returns in an hour.'"
Ms. Agron said roaming around different Pittsburgh neighborhoods offered new discoveries at every turn.
"It's not like you can keep walking like it's New York," she said. "When we went out on the weekend we'd say, we haven't been to Squirrel Hill yet, so let's go there. We haven't been on a campus yet, let's go there. We went canoeing on the river and spent a lot of our down time just palling around."
And, of course, there were all those trips to Jerry's Records.
"It was my 'I Am Number Four' gift to myself," she said. "When you've booked a movie, you can buy some records."