Based on a Nexus 5 set-up done by U.K. retailer Clove, the size of the update is 139.3MB (ignore the higher number on the screenshot in the slideshow below), although that figure could be different based on your region and your carrier. A download of this size could consume some of your precious data. A pop up box will give you a warning and will also apparently give you the opportunity to hook up to a Wi-Fi signal during the set-up process.
Just remember that you will need to install this update to complete setting up your Nexus 5, and the phone won't work without it. Overall, it is just a minor nuisance, but one that you should know about nonetheless.
Nexus 5 requires a software update during the set-up process
source: LG via Clove