With One Remote

Jakub's answer actually improves on this. With Git versions ≥ 1.6.6, with only one remote, you can just do:

git fetch
git checkout test

As user masukomi points out in a comment, git checkout test will NOT work in modern git if you have multiple remotes. In this case use

git checkout -b test <name of remote>/test

or the shorthand

git checkout -t <name of remote>/test

With >1 Remotes

Before you can start working locally on a remote branch, you need to fetch it as called out in answers below.

To fetch a branch, you simply need to:

git fetch origin

This will fetch all of the remote branches for you. You can see the branches available for checkout with:

git branch -v -a

With the remote branches in hand, you now need to check out the branch you are interested in, giving you a local working copy:

git checkout -b test origin/test