One step to check out github pull (and I believe gitlab merge) requests locally:

git fetch origin pull/1234/head:pr-1234

• origin is the remote origin you want to pull from, the one pull requests have been done against (e.g. your own repository if others have created pull requests there)
• pull/1234/head should have the number of the pull request you want
• :pr-1234 is the local branch you will create - it has to be a new branch