It depends on the size of the game that you're downloading from a server.
Some Games are 50 GB to 60 GB in size so if you download either one of those you'll use up 50 GB to 60 GB of data which can be a problem on limited internet connections.
But on unlimited internet connections such as DSL or FIOS internet the data use won't be a problem.
It can take awhile to download the game if it's 50 GB or 60 GB or larger in size so it's best to let the games download overnight unless you have a really fast FIOS internet connection.