Agreed!

My great grandfather was executed in 1938 for murders he committed in 1936 while a policeman in Duquesne, PA. Where to start research? Most family members from that time are gone or won't talk.

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Answer:

This was at first posted as a question and was tagged with the name "Martin Sullivan."  Using that name, I have found some links that ought to help you.

I found the following link that talks a little about Martin Sullivan and his case.  It talks about a book that was published on the history of Duquesne.  Perhaps that book would have something in it.

http://www.arcadiapublishing.com/news_article.html?id=105

Looked around a bit more... wow... not too many people aged 70 committing murders...  Here's a little thing from Time Magazine about Martin Sullivan -- it's from 1936.  If it's accurate, though, it's a pretty unpleasant story.

http://www.time.com/time/magazine/article/0,9171,771884,00.html

You've got me interested, so I dug a bit more.  Here's something

http://news.google.com/archivesearch?q=source%3A%22pittsburgh%22+source%3A%22press%22+%22martin+sullivan%22&btnG=Search+Archives&num=10&hl=en&ned=us&scoring=a&as_price=p1

I know it looks like gobbledygook, but if you cut and paste it you'll get results from the Pittsburgh Press from that time.  There are some articles that are clearly what you're looking for.  This is a link to actual images of the newspaper coverage of Sullivan and his case.

And here's another equally long link for the Pittsburgh Post-Gazette's coverage

http://news.google.com/archivesearch?as_q=&num=10&hl=en&btnG=Search+Archives&as_epq=%22martin+sullivan%22&as_oq=&as_eq=&as_user_ldate=1936&as_user_hdate=1939&lr=&as_src=Pittsburgh+Post-Gazette&as_price=p0&as_scoring=a

Anyway, that ought to get you started...

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