If you want to setup the cellular feature, there is usually an addition $10 monthly charge. Make sure that you have an eligible cellular service plan with a supported carrier. Your iPhone and Apple Watch must use the same carrier, and you must be within your carrier's network when you set up cellular on your watch. For more info, see:
Set up cellular on Apple Watch - Apple Support
However, you do not have to setup the cellular feature if you don't want to. You can set it up later or not at all. If you choose not to, the watch will still be able to do everything (as though the cellular option was enabled) as long as it is near your paired iPhone.