If the bike has been pre-assembled before shipping, there should be minimal work for you to do in the first instance. This should include turning the handlebars, attaching the pedals, adjusting the saddle and checking the tyres are inflated. You might also adjust the position of the controls (i.e. brake lever angle). These tasks require Allen keys in 4, 5, 6 mm, and either a 8 mm Allen key or 15 mm pedal spanner for the pedals, depending on your design - normally a 15 mm pedal spanner for included (basic) pedals.
So that's it, Allen keys, pedal spanner and pump. All of these Allen key sizes will be included on any multitool so you can choose freely, considering other advice and what maintenance you plan or expect to do. Other answers suggesting Torx keys and chain tools etc - these features will be useful at some point in the future and you should buy a quality, long-lasting tool when you do purchase one.
Remember that the left pedal is left hand threaded. Many new bike owners have had to head to the LBS for a repair or replacement of the left crank, reducing that mail order bargain effect. Do ensure the pedals are fixed tightly to the cranks.
You may find that the bike ships with a small Allen key multitool and pedal spanner, as some mail order bikes will come with these and instructions, you could contact the seller to ask or wait and see if it is included.