There is not a specification for power consumption during wake up time (EM2 to EM0). During the wake up time, the oscillator is running, but the core is not executing instructions. Based on this power consumption would typically be close to EM1.
The code that is first executed after the part wakes up depends on what woke the part up and if interrupts are enabled. If interrupts are disabled, the processor will execute non-ISR code until interrupts are enabled. Executing code (ISR or otherwise) out of RAM will allow a faster wake up time than executing out of flash.