After installing Apache Pig, you can run it with the command pig, but you might get this error:
$ pig
Error: JAVA_HOME is not set.
The solution is to set an environmental variable JAVA_HOME to the location of your java installation.
On my version of ubuntu this is done with:
export JAVA_HOME=/usr/lib/jvm/java-6-openjdk/jre/
After that, pig loads fine.