Homebrew, rbenv, rvm, to name a few. Never understood it either. If you could get ahold of a domain write a malicious script at /some-script.sh, you could do a lot of damage.
I agree that it feels insecure, but is there really a difference between this and downloading and running files from a .tar.gz or installing a .deb for example?
This is an important part of why Debian and its derivatives are superior to OS X for web development. If you like Mac hardware like I do, at least run a Linux distro as a virtual machine and save yourself the trouble of Homebrew or its contemporaries.