According to Apple, the update includes the following:
Apple also has a support page that details the security content of OS X El Capitan 10.11.2 and Security Update 2015-008.
Before installing the update, back up your Mac’s data. The update is available in the App Store under Updates. You can also go to the Apple menu, select About This Mac, and click the Software Update button in the Overview window.
Developers, take note: Apple also released Xcode 7.2, which includes Swift 2.1.1 and SDKs for the OS updates that Apple released on Tuesday.