Say we're trying to download the PHP source code from php.net. If all that's protecting us is SSL, then if an adversary compromises the php.net servers (happens all the time, and actually has happened to PHP), they can
immediately replace all the downloads with backdoored copies. Whereas with a PGP signature, the key can be stored off-line (even on an air-gapped system), so that even if the web server is compromised, the adversary can't make me believe the file is legit.
PGP can also be used in a trust-on-first-use manner. Get the public key once over an insecure channel, and if the attacker missed that single opportunity, you're safe until the key changes. With SSL, on the other hand, you're at risk every single time you make a connection, because any of hundreds of CAs has the power to sign that certificate, and as above, you have to assume the web server isn't compromised.
Another reason PGP is important is mirroring. Big F/OSS projects let others' volunteer mirrors. Even if those mirrors support SSL and the transport from the author to the mirror is encrypted, there's absolutely no guarantee that the mirrors themselves are not malicious. The mirrors could be backdooring their own files. The fact that you have an SSL connection to the mirror doesn't do anything to prevent this. But with PGP signatures, you're assured the files come from the software's developer, and haven't been tampered with by the mirror.
So the difference is: SSL secures the connection between your browser and the web server. PGP ensures you're getting the file the software developer intended you to get. It's a semantic difference.
I'd also argue hard against `curl | sh` for (assuming it exists) the psychological effect of teaching users that it's OK to pipe random things from the web into sh.