Just to list a few changed: Apple's News app now has a new design that is more attractive to publishers, iOS 9.2 now supports AT&T's NumberSync service, Apple Music has been tweaked around to remove annoying features, Mail Drop now supports files over 5GB, iBooks now supports 3D Touch, and Apple's USB Camera Adapter is now supported on iPhone.
iOS 9.2 can be downloaded via iTunes or directly through the Over-The-Air update feature in the Settings app. The update is available for devices iPhone 4S and later.