As Waross said, it's really a matter of how big the unit is. Pad mount or smaller station class (~2500kVA) typically ship filled from the factory. I've seen larger (~40MVA) units shipped full, with only the radiators to install on site and about 300 gallons to top off.
For larger units, removing the oil reduces the transport weight, which may be an issue when moving on small roads to the final location.