I had a great time looking for caches up in Gatlinburg, which is really close to Pigeon Forge! I was up there last weekend. There are no caches up on Ober Gatlinburg, but you should try going down the alpine slide. That is pretty fun.
Anyways, if you start downtown Gatlinburg from the far east before the forest reservation, you can back track through town and get some caches. I don't recall any "big time" caches. There are a few ammo can types laying around the area.