Simply go to Settings → General → Software Update to begin the update.
This update features the following:
- Security updates
- Bug fixes
- A fix for an issue that can prevent a completion of app installation when using an MDM server
Apple has provided a list of the security-oriented changes implemented into iOS 9.2.1, and it can be found via this link. There’s a familiar name credited in the change log, Nikias Bassen, better known around the jailbreak community as pimskeks.