The Pirates host their Spring Training at McKechnie Field in Bradenton, Florida, just south of Tampa. You can check out a map of all the Grapefruit League sites here. Here's the Pirates' 2012 schedule -- you'll see that they play most of their Spring Training games against other teams that make their homes on the Gulf Coast side, such as the Phillies, Jays and Yankees, who are all in the Tampa / St. Petersburg area, and also the Orioles, Rays, Red Sox and Twins, who all make their homes farther south.
You can find details on McKechnie Field here. If you're planning on heading to Spring Training, consider heading to Pirate City in the morning. That's where the Pirates' minor-league camp is held, and it's also in Bradenton, although it's a few miles from McKechnie. Everything at Pirate City is free to the public. You can go in the morning and watch hundreds of players, minor leaguers and major leaguers alike, running drills on four separate fields. If you go in the second half of March, you can usually stick around in the afternoons and watch several scrimmages going on at the same time. This is your best way of getting an early look at recent Pirates draftees.
For more on the Pirates, check out Bucs Dugout.