Do I need cellular data to listen to an audio book or Apple Music?

This is what you can do without the phone nearby;

Track your workouts.4

See the time and use the Alarm, Timer and Stopwatch apps.

Track your activity goals.

Display photos from synced photo albums.

Play music, podcasts or audiobooks that you've synced to your watch.

Make purchases with Apple Pay. 

Check your heart rate. 

Relax and breathe mindfully. 

Record thoughts and ideas.

Get your bearings with Compass.5

Protect your hearing.

Track your menstrual cycle.

Track your sleep.

Measure your blood oxygen level with the Blood Oxygen app.

Take an ECG with the ECG app.

No read here;

Listen to music, podcasts, and audiobooks on your Apple Watch - Apple Support

GPS + Cellular

Apple Watch (GPS + Cellular) has all the same features, as well as built-in cellular. It gives you the freedom to send and receive text messages, answer phone calls, receive notifications, and stream Apple Music and Apple Podcasts — even when you don’t have your iPhone with you.