Most Nativity sets are sized to be tabletop or mantel additions. Individual figures in miniature varieties might measure around 5 inches high by 1.5 inches wide by 1.5 inches deep.
Nativity sets often come with three, seven, 11 or 21 pieces in the set. Three-piece sets often have Joseph, Mary and Baby Jesus. Seven-piece sets usually have the wise men and angels added. 11-piece sets typically have a host of stable animals as well. 21-piece sets often have added backdrops like the stable and trees.
It's also common to find sets that come with boxy stables as a backdrop. Tabletop varieties used as an accent might measure around 7 inches high by 10 inches wide by 4 inches deep.
Start by measuring however much table or mantel space you have and decide on set sizes from there.
But outdoor Nativity sets are meant to be seen from the road. Today, it's common to see them as flat pieces that depict Jesus' birth. They may measure around 3 feet high by 2 feet wide.