The game for Xbox One weighs in at 28.12GB, which may seem small for a game of this size, but Bethesda do a great job at compressing game data. While many modern games might be pushing 50GB or more, good compression can help drop the actual size by almost half. Having few, if any, pre-rendered cutscenes also help a lot.
To put that in perspective, Skyrim on the 360 was only 3.68GB, and about 5 GB on PC, which is tiny when you consider the massive scale of the game.
The file sizes haven’t been revealed for the PS4 or PC versions of the game yet, but they shouldn’t be too far off the same mark. The PS4 version should be about that too, while I doubt the PC version will be any more than 35GB.
Remember, that the actual install size could be steeper, so you might have to make sure there’s more room on you HDD’s than that. Regardless, many of us with poor download speeds appreciate the lower download sizes and can hopefully start playing on November 10th, assuming the will of the interweb gods allow it.