Physicians are human and sometimes make mistakes. Always question an order you aren't sure about. That doesn't mean saying, "what the hell are you thinking?"
I approach these things always from a perspective of "doing what's best for my patient", and might say to the physician:
"Dr. SoNSo, could you clarify this order for me?"
"Could you explain your rationale behind this order?"
"I am uncomfortable with this order because of x, y, and z."
Sometimes it's an error, and your critical thinking will catch it from becoming a bigger error. Sometimes, you will learn something new by asking for an explanation and a previously odd order will make sense. Sometimes, a physician might reconsider because of your explanation of why you aren't comfortable with the order.
This can also apply in reverse for a physician who hasn't ordered something you feel would help the patient. Did they forget? Were they unaware of some crucial assessment info that you can provide them? Is there a reason behind why they haven't ordered it, and if so, what is it and does it make sense?
For the one or two physicians who seem to insist on having an unsafe order followed, without listening to your (well-thought out) concerns and without providing any clarity, that's when you go to your charge nurse or supervisor for support. Document everything.
Patient safety is paramount, and while you are also protecting your own butt, as long as you are doing so from a patient advocacy perspective, then you have good ground to stand on.