To preview locally, you'll need to clone a local copy of this repository and point your Apache & PHP webserver at its root directory (a webserver is required, as PHP and .htaccess are used for combining development files).
If you don't currently have a webserver running locally, there are a few options.
If you're on a Mac, you can try dropping jQuery Mobile into your sites folder and turning on Web Sharing via System Prefs. From there, you'll find a URL where you can browse folders in your sites directory from a browser.
Another quick way to get up and running is to download and install MAMP for Mac OSX. Once installed, just open MAMP, click preferences, go to the Apache tab, and select your local jQuery Mobile folder as the root. Then you can open a browser to http://localhost:8888 to preview the code.
Another alternative is XAMPP (Mac, Windows). You need to actually modify Apache's httpd.conf to point to your checkout: Instructions
You need the following Apache modules loaded:
$ python -m SimpleHTTPServer 8000 And in your browser visit localhost:8000.