Not sure which Nexus you got, but I assume it would be the Nexus 7. pcdoc is correct, the device firmware is set to start updating all the apps and firmware when it starts up the first time. There is no way to prevent this unless you don't connect to a wifi (or set up wifi when you start). At startup, there must be an option to skip the wi-fi connection when you start. Wifi is not a requirement to get the device going for the first time. If you struggle, just enter a fictitious SSID and password. It should tell you it can't connect and then just skip.
When you get past this initial setup - switch off auto updates to prevent data surprises especially when on 3G. OOB rates are nothing to sneeze at and the device might do some serious updates especially at setup. You can also go into every app and switch off auto updates depending on your needs. I do that especially for Google Play Store
From inside the device after setup, you can easily switch between wifi and 3G with either the pulldown menu or from system settings