Just to complete their education, or start it for anyone who missed my illuminating (or more likely confusing) explanation on the train, here's
a link to a more explanatory video.
Contrary to what that video implies, should it all go horribly wrong, and the remains of Curiosity ends up decorating a large area of the Martian surface, they will have some information about what happened. Mars Express (an ESA spacecraft currently in orbit around Mars) will be monitoring the signal from Curiosity in a so called "Open Loop" recording (as probably will some Earth based ground stations, albeit with a substantially greater Noise to Signal level), which will allow them to see both the Doppler level shifts as the various stages of entry deacceleration occur, but also the limited "tones" that will be transmitted to show what the spacecraft thinks is happening. They can't send back a detailed telemetry, because of the impossibility of accurately pointing a high-gain antenna from a slightly unpredictably moving spacecraft, but they will send a very much lower data rate signal indicating the gross features of the landing. Of course, when it successfully lands, they'll be able to uplink much more detailed telemetry about the landing, including things like pictures from the descent imager, which will take five HD images a second for around the last three minutes of the descent (basically once the heat shield is released, and no longer in the way of the camera).
Exciting stuff, all happening in just under eighteen hours, around 6am tomorrow morning.