I graduated from CMU CS in 2009 and chose to start up instead of doing grad school (http://www.shoefitr.com). We were funded by AlphaLab and are still based in Pittsburgh.

I, too, was looking to work on something cool and new, and you can certainly find projects that meet this criteria in both startups and academia. The decision for me was easy because I was passionate about the idea, and I was excited to start building. The serious thesis work in grad school would still have been a couple years away, and I wasn't as excited about taking more classes. I wanted to get started immediately.

If you'd like to grab lunch and talk more about the start-up world, I'd be happy to try and lend my perspective. (My co-founders and I live in Shadyside).