Download on a Fast Connection or Visit Apple
The OS X El Capitan download should weigh in at about 5GB. That's not a small file and it will take a while to download on slower internet connections. That's if you are upgrading from OS X Yosemite.
If you have a slow connection you may want to download the update at work or a friend's house and then complete the installation later when you have time.
Apple Stores will also let you come in and download the update on the in store WiFi connection.
If you are upgrading from OS X El Capitan to a small bug fix update a fast connection is handy, but not as important as with the major update.