How to locally test a pull request from GitLab?

It is quite similar. The little differences exist because in GitLab merge requests are used instead of pull requests from GitHub. This consists in creating a branch away from master and merging into it later.

To test a Merge Request all you need to do is to fetch and checkout the branch sent for merge:

git fetch <repo> <branch>
git checkout -b <branch>

Also there is a button in every merge request with the instructions to checkout the diffs locally:

First pull merge request to a new branch

git fetch REMOTE merge-requests/MERGE_REQUEST_ID/head:BRANCH_NAME

Real example would be like: git fetch origin merge-requests/1/head:add_some_feature

Then check it out

git checkout BRANCH_NAME

In above example would be like: git checkout add_some_feature

Now check the new branch.

Important point: BRANCH_NAME is the source branch of merge request. It's not the target branch.