Thanks for the feedback! The script will download the latest version of Pulumi, extract it to ~/.pulumi/bin and then try to add that folder to your .bashrc or .bash_profile.
You should be able to read the source of the script directly at https://get.pulumi.com/ or even download it yourself, inspect it and then decide if you want to run it or not. You can also follow the manual install instructions which are listed a little further down on our install page at https://pulumi.io/install/, if you want total control over where it is installed.
I also just opened a pull request to our docs website: https://github.com/pulumi/docs/pull/430 to explain in a little more detail what we're doing with the scripts.