That command curls a ruby file from the Homebrew repository on Github. If that Github repo (or Github) is compromised, then no matter how you installed homebrew, you are going to get hacked the next time you run `brew update`, which by default is run on every `brew install`.

For me, the odds of that repo being compromised for long enough are outweighed by the convenience. This has been brought up on HN before and I'm not convinced.