HTC don't seem to be very good at telling customers what's in their updates.
However, the new Desire S OTA update, which is at the moment only available to stock HTC ROMs (not branded phones), includes the following:
An update to the Android operating system to version 2.3.5
An update to the Sense GUI to verion 3.0, which updates several apps and widgets and adds a few new ones.
A new radio (baseband) version for better phone and GPS signal, which could be crucial to people who've experienced signal problems. There are very positive reports regarding the new radio since it was leaked.
The prompt should come round again to your phone in a day or so.
It's early days. HTC usually start by gradually sending the OTA to stock ROMs, then after a couple of weeks or so the network carriers will start sending out their branded versions to their customers, representing the vast majority of Desire S users. If you're unsure about whether you should update or not, you may want to wait until then.