The guys over at Wiixors somehow managed to take a quick picture of the back of the box for the Wii. As you can see, there is a list of stuff included in the box. At the bottom of the list is a "Wii Startup Disc".
Now the internet forums are blazing in speculation that Nintendo's upcoming console may need to have its firmware installed before being able to play it.
The mystery disc could be an OS that the user needs to install first, or it may just be "Wii Sports". Its pretty strange that they didn't just call the game by its name though, so I guess we will have to wait until the system launches to figure out the entire truth.
EDIT: The disk most likely includes updates. This is because the firmware was updated after production on the Wii began.