At work, I use a code review tool, without pulling in the code except in special cases. We have testers who will verify that it works; the review is mostly for conventions, code quality, architecture, seeing if things make sense... If it needs running the code, it's the job of the developer and the tester.
For open source projects, I don't have testers, so I more often pull the code to test locally. This is besides using the code review interface of Github / Bitbucket.
Perhaps if I'm ever in charge of this choice, I'd look for a code review tool with good IDE integration. I'd like to test code and leave comments without leaving the IDE.
Mark
formerly known as M