Apple is perhaps more privacy conscious than other major tech firms -- much of your personal information is stored on your device rather than the company's servers, so it might not necessarily hold that much data on you anyway. Still, it could take up to a week for Apple to prepare your download. The data may include details about your App Store purchase history, Apple Music activity and AppleCare support tickets.
The refreshed privacy site lays out how Apple handles your data, taking into account some new features in iOS 12 and macOS Mojave such as encrypted FaceTime group calls (though that isn't actually available yet). It also details how Apple uses anonymized data to determine what the most popular features are, such as the most commonly used emoji or the most effective QuickType suggestions.