The latest BIOS update is version 0033. There are multiple files on the download page however if you are just updating the BIOS and are running Windows 7, 8 or 10 then the recommended approach is to download the file:
SYSKLi35.86A.0033.EB.EXE- Self-extracting Windows*-based update file, designed to be used on Windows systems. This method is the most commonly used.
If you have not updated BIOS before then it is best to read through the instructions on the download page and the "read me" that is also on the download page to familiarize yourself with the process.
Note: as mentioned on many other posts, once you update to BIOS 0033 you may need to enter Visual BIOS and change the option for M.2. SSD to 'on'. For some reason this setting defaults to 'off' on installing BIOS 0033 and may therefore result in your SSD not being recognized.
The setting is under Advanced --> Devices --> PCI tab --> M.2 slot
Check/Enable it then save and exit.
Note 2: If this is your only PC with access to the internet then you may also want to download the 0028 recovery bios and instructions and put them on a suitable USB key just in case you have issues.
Thanks wombat for your detailed responses but what if I didn't update the BIOS. Is this update absolutely necessary? My NUC is running fine now. Would I run into issues down the road if I didn't update the BIOS?
Just a personal view.. if you are not having any issues with your NUC at present then I would not be in a rush to update the BIOS, particularly as there are a few people who have had issues with the BIOS update. So in summary, just wait. There should be no issues with updating the future to a later version etc.
Intel recommends to update the BIOS if you are getting hardware issues; otherwise, it is better to keep current version as it is.