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Locate the section for your github remote in the .git/config file. It looks like this:

[remote "origin"]
    fetch = +refs/heads/*:refs/remotes/origin/*
    url = git@github.com:joyent/node.git

Now add the line fetch = +refs/pull/*/head:refs/remotes/origin/pr/* to this section. Obviously, change the github url to match your project's URL. It ends up looking like this:

[remote "origin"]
    fetch = +refs/heads/*:refs/remotes/origin/*
    url = git@github.com:joyent/node.git
    fetch = +refs/pull/*/head:refs/remotes/origin/pr/*

Now fetch all the pull requests:

$ git fetch origin
From github.com:joyent/node
 * [new ref]         refs/pull/1000/head -> origin/pr/1000
 * [new ref]         refs/pull/1002/head -> origin/pr/1002
 * [new ref]         refs/pull/1004/head -> origin/pr/1004
 * [new ref]         refs/pull/1009/head -> origin/pr/1009
...

To check out a particular pull request:

$ git checkout pr/999
Branch pr/999 set up to track remote branch pr/999 from origin.
Switched to a new branch 'pr/999'